Please use this identifier to cite or link to this item:
Title: Price discovery in emerging commodity markets: spot and futures relationship in Indian commodity futures market
Authors: Kumar, Brajesh
Pandey, Ajay
Keywords: Indian Commodity Futures Markets
Price Discovery
Return Spillover
Volatility Spillover
Issue Date: 31-Dec-2011
Citation: Journal of IDEAS, Vol.25 No.1 (2011) 79-121
Abstract: The price discovery role of the Indian commodity futures markets is investigated through return and volatility spillovers between spot and futures prices. For agricultural commodities, the price discovery takes place in both spot and futures markets. However, in the harvest period, when the futures trading volume is high, the futures market leads the spot market whereas in the lean period both markets jointly perform a price discovery. For the precious metals and energy commodities, the futures markets lead the price discovery role. In the case of industrial metals, LME spot prices (which are taken as spot prices for settlement by Indian exchanges) play a significant role in the price discovery process in the Indian market.
Description: Scopus Index
Appears in Collections:JGU Research Publications

Files in This Item:
File Description SizeFormat 
Price Discovery in Emerging.pdf807.7 kBAdobe PDFView/Open    Request a copy

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.