Indian Securities Markets
The Securities Market Report Card (SMRC) presents a set of market size and quality measures that capture the health of the Indian securities markets. At present, market size is reported for: (1) Equity: spot, single stock futures and options, and NIFTY futures and options; (2) Currency: spot, USD-INR futures and options & forwards; (3) Commodities: futures on select agri and non-agri commodities. The measures for market quality are reported for the spot and futures segments in these markets. Market quality measures are: (1) for Size: average daily traded volume; (2) for Efficiency: spot-futures basis, basis risk, percentage of trading days with negative basis, variance ratio; (3) for Volatility: standard deviation of returns.
(Content: Susan Thomas, Anjali Sharma, Rahul Somani. Implementer: Rahul Somani. Updates: Rahul Somani.)
|ADTV (Rs. Bn)|
|Basis Risk (%)|
|VR (lag = 2)|
ADTV: Average Daily Traded Volume; Basis: Spot-Futures Basis; NBP: Negative Basis Proportion; VR: Variance Ratio
BSE, MCX, MCX-SX, NCDEX, NSE: Bhavcopy data; CCIL: Daily data on currency spot and forwards market FBIL: MIBOR rate, USD-INR reference rate;