Journal
| Title | Price Discovery in Futures and Spot Commodity Markets in India | |
| Author's Name | Dr. Pratap Chandra Biswat | |
| ISSN | 0974-7281 | |
| Page(s) | 21-44 | |
| Volume No. | 1 | |
| Issue Month | january 2009 | |
| Keywords | Futures, Spot, Commodity Markets, Johansen Cointegration. | |
| Abstract | The study investigated the role of commodity futures market in performing the function of price discovery. The significance of price discovery depends upon a close relationship between futures and spot prices. The price linkage between futures market and spot market has been investigated using cointegration analysis. To perform the cointegration and error correction dynamics, this study used four futures and spot indices of Multi-Commodity Exchange (MCX), Mumbai. The results show that futures and spot markets in MCX are cointegrated and sharing a long run relationship. There is a causality flow from futures markets towards spot markets indicating information flow from futures to spot markets. At the same time, there is also a reverse information flow happening in case of metals signifying price discovery in both futures and spot markets. |
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