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Round the Clock Price Discovery: Evidence from Infosys and USDINR Futures

Fri, 04 Apr 2014 18:45:29 GMT

Infosys is dual listed in USD on the Nasdaq (INFY) and in INR on the National Stock Exchange of India (NSE) (INFY).  I do not have access to any spot INR facilities, however I do have available some NSE listed USD/INR futures.  These futures allow for the currency-adjusted value of either equity to be derived.  Similar price transmission studies have been discussed using prices from Glencore, RWE, Apple, and Sino-Forest, all four however using the spot FX as the pricing...

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