Securities Market Report Card


The Securities Market Report Card presents a set of market quality measures that capture the health of the securities markets in India. At present, the markets covered are: (1) Equity: cash, single stock futures, NIFTY futures; (2) Currency: spot, OTC derivatives, USD-INR futures & options; (3) Commodities: futures on select agri and non-agri commodities. The measures of market quality presented are: (1) for Size: average daily traded volume; (2) for Efficiency: cash-futures basis, basis risk, percentage of trading days with negative basis, variance ratio; (3) for Volatility: standard deviation (sigma) of returns. More details can be found here.




Sep-18 Oct-18 Nov-18 Dec-18 Jan-19 Feb-19 Mar-19 Apr-19 May-19 Jun-19 Jul-19 Aug-19 Sep-19
Average Daily Traded Volume (Rs. Bn) 7,928.00 7,420.80 6,157.00 6,296.30 6,213.00 7,626.10 8,827.30 9,353.90 8,834.60 9,302.50 9,113.20 10,696.10 10,156.40
Cash-Futures Basis 0.05 -0.08 -0.20 -0.10 -0.02 -0.04 -0.07 0.05 -0.09 0.11 -0.07 -0.04 0.00
Basis Risk (%) 4.57 5.71 7.41 8.39 7.46 5.69 5.14 4.90 5.11 10.10 8.15 6.94 8.56
Neg. Basis Prop. (%) 35.95 50.85 55.19 36.73 45.31 40.52 35.90 26.41 37.72 38.87 48.38 41.74 34.06
Variance Ratio 0.98 0.88 0.78 1.03 1.00 0.93 0.87 0.77 0.99 0.99 0.95 0.93 1.00
Sigma Returns (%) 25.48 34.76 32.66 27.63 24.12 25.45 23.10 22.79 26.63 29.30 27.71 27.65 33.41
Data Sources: daily data from the BSE, CCIL, MCX, NCDEX and NSE.