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
Basis Risk (%)
NBP (%)
VR (lag = 2)
Volatility (%)
Jan-19 Feb-19 Mar-19 Apr-19 May-19 Jun-19 Jul-19 Aug-19 Sep-19 Oct-19 Nov-19 Dec-19 Jan-20 Feb-20
6,208.10 7,626.10 8,827.30 9,353.90 8,834.60 9,302.50 9,109.60 10,696.10 10,171.10 10,152.40 9,398.00 9,094.70 10,122.30 11,645.70
-0.05 -0.07 -0.10 0.01 -0.12 0.08 -0.09 -0.06 -0.04 -0.15 -0.15 -0.06 -0.59 0.36
7.26 5.64 4.94 4.60 4.98 9.99 8.17 6.91 8.57 7.16 5.66 6.36 12.86 41.97
48.34 44.41 38.93 29.84 42.00 43.18 49.37 45.99 37.61 45.63 44.06 34.37 41.08 48.78
0.99 1.01 0.88 0.94 1.00 1.01 0.99 0.99 0.97 0.89 0.87 1.05 1.08 0.94
23.87 25.42 23.17 22.83 26.80 29.10 27.74 27.56 33.46 43.34 30.67 24.78 33.22 83.15
Legend

ADTV: Average Daily Traded Volume; Basis: Spot-Futures Basis; NBP: Negative Basis Proportion; VR: Variance Ratio

Sources

BSE, MCX, MCX-SX, NCDEX, NSE: Bhavcopy data; CCIL: Daily data on currency spot and forwards market FBIL: MIBOR rate, USD-INR reference rate;