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Table 2 Estimated error correction model

From: Derived signals for S & P CNX nifty index futures

Error correction model
\( \triangle {V}_t={\hat{\lambda}}_0+{\hat{\lambda}}_1{\hat{u}}_{t-1}+{\hat{\lambda}}_2\triangle {M}_t+{\hat{\lambda}}_3\triangle {w}_t+{v}_t \)
Estimates
\( {\widehat{\lambda}}_0 \) 0.0001
\( {\widehat{\lambda}}_1 \) −0.4132*
\( {\widehat{\lambda}}_2 \) 0.0187**
\( {\widehat{\lambda}}_3 \) −0.0058**
  1. Note:* (**) Significant at 0.01 (<0.01) level. ΔV t  = V t V t-1 , ΔM t  = M t M t-1 , and Δw t  = w t w t-1 . The result indicates that the long run cointegration between returns and trading margin with credit availability holds well