Does Indian Commodity Futures Markets Exhibit Price Discovery? An Empirical Analysis
Price discovery function analyses the dynamics of futures and spot price behavior in an asset’s intertemporal dimensions. The present study examines the price discovery function of the bullion, metal, and energy commodity futures and spot prices through the Granger causality and Johansen–Juselius co...
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| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2022-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2022/6431403 |
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| author | Upananda Pani Ştefan Cristian Gherghina Mário Nuno Mata Joaquim António Ferrão Pedro Neves Mata |
| author_facet | Upananda Pani Ştefan Cristian Gherghina Mário Nuno Mata Joaquim António Ferrão Pedro Neves Mata |
| author_sort | Upananda Pani |
| collection | DOAJ |
| description | Price discovery function analyses the dynamics of futures and spot price behavior in an asset’s intertemporal dimensions. The present study examines the price discovery function of the bullion, metal, and energy commodity futures and spot prices through the Granger causality and Johansen–Juselius cointegration tests. The Granger causality test results show bidirectional causality between the spot and futures returns for gold, silver, aluminum, lead, nickel, and zinc. The Johansen cointegration test shows that spot and futures prices are in the long-run equilibrium path for silver, aluminum, lead, nickel, zinc, crude oil, and natural gas. The vector error correction model results suggest that both the spot and futures markets are equally efficient in price discovery for the nickel. The spot market leads the futures market in price discovery for copper and zinc. However, the futures market leads the spot market in price discovery for silver, aluminum, and lead. The findings of the study suggest the market participants for implementing hedging and arbitrage strategies. It also helps the market regulators to examine the stability of these rapidly growing commodity futures markets in India. |
| format | Article |
| id | doaj-art-6893c153465e431482844ad7c5eef47b |
| institution | Kabale University |
| issn | 1607-887X |
| language | English |
| publishDate | 2022-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Discrete Dynamics in Nature and Society |
| spelling | doaj-art-6893c153465e431482844ad7c5eef47b2025-02-03T01:10:58ZengWileyDiscrete Dynamics in Nature and Society1607-887X2022-01-01202210.1155/2022/6431403Does Indian Commodity Futures Markets Exhibit Price Discovery? An Empirical AnalysisUpananda Pani0Ştefan Cristian Gherghina1Mário Nuno Mata2Joaquim António Ferrão3Pedro Neves Mata4Department of EconomicsDepartment of FinanceISCAL (Instituto Superior de Contabilidade e Administração de Lisboa)ISCAL (Instituto Superior de Contabilidade e Administração de Lisboa)ISCAL (Instituto Superior de Contabilidade e Administração de Lisboa)Price discovery function analyses the dynamics of futures and spot price behavior in an asset’s intertemporal dimensions. The present study examines the price discovery function of the bullion, metal, and energy commodity futures and spot prices through the Granger causality and Johansen–Juselius cointegration tests. The Granger causality test results show bidirectional causality between the spot and futures returns for gold, silver, aluminum, lead, nickel, and zinc. The Johansen cointegration test shows that spot and futures prices are in the long-run equilibrium path for silver, aluminum, lead, nickel, zinc, crude oil, and natural gas. The vector error correction model results suggest that both the spot and futures markets are equally efficient in price discovery for the nickel. The spot market leads the futures market in price discovery for copper and zinc. However, the futures market leads the spot market in price discovery for silver, aluminum, and lead. The findings of the study suggest the market participants for implementing hedging and arbitrage strategies. It also helps the market regulators to examine the stability of these rapidly growing commodity futures markets in India.http://dx.doi.org/10.1155/2022/6431403 |
| spellingShingle | Upananda Pani Ştefan Cristian Gherghina Mário Nuno Mata Joaquim António Ferrão Pedro Neves Mata Does Indian Commodity Futures Markets Exhibit Price Discovery? An Empirical Analysis Discrete Dynamics in Nature and Society |
| title | Does Indian Commodity Futures Markets Exhibit Price Discovery? An Empirical Analysis |
| title_full | Does Indian Commodity Futures Markets Exhibit Price Discovery? An Empirical Analysis |
| title_fullStr | Does Indian Commodity Futures Markets Exhibit Price Discovery? An Empirical Analysis |
| title_full_unstemmed | Does Indian Commodity Futures Markets Exhibit Price Discovery? An Empirical Analysis |
| title_short | Does Indian Commodity Futures Markets Exhibit Price Discovery? An Empirical Analysis |
| title_sort | does indian commodity futures markets exhibit price discovery an empirical analysis |
| url | http://dx.doi.org/10.1155/2022/6431403 |
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