Page 262 - IMDR JOURNAL 2023-24

IMDR’s Journal of Management Development & Research 2023-24

Markets’ paper by Kiran Kumar Kotha and Shreya Bose examined the corelation between the

Nifty stock index and contract trading on the domestic markets NSE and SGX Nifty. They
used daily closing as a reference from July 2010 to July 2016. They found that there is a

consistent connection between spot market returns and futures market returns in NSE and
SGX Nifty. (Kotha, 2016)

‘Price Discovery of Index Futures Across Markets’ research paper by Xiaping Cao,
Xiaoming Wang, Nelson K.L. Yap, and Sili Zhou have studied the relationship between 4

indices MSCI Taiwan Index, Nikkei 225 Index, FTSE China A50 Index, and the CNX Nifty

Index traded on Singapore Exchange and compared them with their spot index. This studied
the impact of financial hub in determining the prices of international indices. They concluded

that the price discovery can be done with the help of Nifty and Nikkei index. (Xiaping Cao,

2016)

‘Price Dynamics and Volatility Transmission in Cross-Listed Equity Index Futures Markets’
thesis by Suqin Gu studied “the relation of 10 actively cross-traded equity index futures and

the 4 underlying indices of China, India, Japan, Singapore, and the US markets are paired and
studied. it concluded that futures contracts with the same pattern are traded more actively

than other contracts designed. The equilibrium between the onshore and offshore futures is
more significant and much closer to a one-to-one fair relationship than the equilibrium

between the futures and the underlying index. The two more actively traded futures tend to

have more significant equilibrium and meander more narrowly around the equilibrium
prices.” (Gu, 2014)

When we look at these papers, they all focus on comparing and price discovery of indices

based on futures. The papers are studying many indices at once. In this paper, only specific

Nifty and SGX Nifty are compared and focus more on the prediction of the moves. In this
paper statistical indicator RSI is also used to analyse the relationship. The paper aims to see

the relationship between both indices after the shift of SGX Nifty from the Singapore
Exchange to GIFT City.

Data Analysis and Observation

Given below is the table of nifty and gift nifty comparing the percentage change of the day
and the gap up and gap down is given with RSI on that day from January 2023 to June 2023.

The data is taken from Trading View (Trading View Nifty 50, n.d.) and Gift Nifty (Trading

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