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https://ir.iimcal.ac.in:8443/jspui/handle/123456789/3055| Title: | Role of futures market in price discovery |
| Authors: | Kumar, Narender Arora, Sunita |
| Keywords: | Futures market Commodity markets Cointegration Price discovery Error correction |
| Issue Date: | Dec-2013 |
| Publisher: | Indian Institute of Management Calcutta, Kolkata |
| Series/Report no.: | Vol.40;No.3 |
| Abstract: | This study analyses the price discovery aspect of futures markets. Data on spot prices and near month futures prices of two non-precious metals, one highly traded, i.e. copper and other lowly traded, i.e. aluminium, on Multi Commodity Exchange of India Limited from January 2006 to December 2011 is analysed. Vector Error Correction Model (VECM) based on cointegration technique is applied. The study concludes that both the series of spot and futures prices are cointegrated of order one, and exhibit a stable long-run equilibrium relationship. The results of VECM show that there is a bi-directional causality in spot and futures market but the futures market is found to be more sound in terms of discounting new information than the spot market. |
| Description: | Sunita Arora, Department of Commerce, Government College for Women, Rohtak, India; Narender Kumar, Department of Commerce, Maharshi Dayanand University, Rohtak, India p.165-179 Issue Editor – Bhaskar Chakrabarti, IIM Calcutta, Kolkata, India |
| URI: | https://doi.org/10.1007/s40622-013-0019-8 https://ir.iimcal.ac.in:8443/jspui/handle/123456789/3055 |
| ISSN: | 0304-0941 (print version) ; 2197-1722 (electronic version) |
| Appears in Collections: | Issue 3, December 2013 |
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|---|---|---|---|
| Role of futures market in price discovery.pdf Until 2027-03-31 | 469.55 kB | Adobe PDF | View/Open Request a copy |
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