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Price discovery in emerging commodity markets: Spot and futures relationship in indian commodity futures market

dc.contributor.authorKumar B.
dc.contributor.authorPandey A.
dc.date.accessioned2022-02-11T10:14:10Z
dc.date.available2022-02-11T10:14:10Z
dc.date.issued2011
dc.identifier.citationKumar, B., & Pandey, A. (2011). Price discovery in emerging commodity markets: Spot and futures relationship in indian commodity futures market. Bogazici Journal, 25(1). https://doi.org/10.21773/boun.25.1.4
dc.identifier.issn13009583
dc.identifier.urihttps://www.doi.org/10.21773/boun.25.1.4
dc.identifier.urihttp://hdl.handle.net/11718/25241
dc.description.abstractThe 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.
dc.language.isoen_US
dc.publisherBogazici Universitesi
dc.relation.ispartofBogazici Journal
dc.subjectIndian commodity futures markets
dc.subjectPrice discovery
dc.subjectReturn spillover
dc.subjectVolatility spillover
dc.titlePrice discovery in emerging commodity markets: Spot and futures relationship in indian commodity futures market
dc.typeArticle
dc.contributor.affiliationJindal Global Business School, O.P. Jindal Global University, Sonipat, Haryana-131001, India
dc.contributor.affiliationIndian Institute of Management (IIM Ahmedabad), Ahmedabad, Gujarat-380015, India
dc.contributor.institutionauthorKumar, B., Jindal Global Business School, O.P. Jindal Global University, Sonipat, Haryana-131001, India
dc.contributor.institutionauthorPandey, A., Indian Institute of Management (IIM Ahmedabad), Ahmedabad, Gujarat-380015, India
dc.description.scopusid57198558148
dc.description.scopusid35213675900
dc.identifier.doi10.21773/boun.25.1.4
dc.identifier.endpage121
dc.identifier.startpage79
dc.identifier.issue1
dc.identifier.volume25


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