JMGT_V5_N2_RP2 Satish D. V. Sankara Narayanan Anubhav Journal on Management 2230 – 715X 5 2 13 24 Non-deliverable Forwards, Volatility, Bid-ask Spread, Spill Over Effect, Garch Model, Granger Causality Test The paper does a detailed analysis of Non Deliverable Forwards (NDF) rupee market with a view to understand the linkages between domestic Spot, forwards and off shore NDF market for Indian rupee Various tests are done on the data for the period 1st January 2007 to 31st March 2010. The paper finds that the bid-ask spread is less in case of domestic market than that of the NDF market which clearly suggests that there is higher liquidity in the domestic market. ARCH/GARCH test also suggests that the volatility in the NDF market is more than that of onshore market. Interestingly, the results of Granger Causality Test suggest that there is sufficient information flow between onshore Spot, forwards market and NDF market with two way causality between onshore Spot market and NDF market. This means that the policy makers cannot ignore the importance of NDF markets. September - November 2010 Copyright © 2010 i-manager publications. All rights reserved. i-manager Publications http://www.imanagerpublications.com/Article.aspx?ArticleId=1295