Does Indian commodity futures markets exhibit price discovery? An empirical analysis

Detalhes bibliográficos
Autor(a) principal: Pani, Upananda
Data de Publicação: 2022
Outros Autores: Gherghina, Ştefan Cristian, Mata, Mário Nuno, Ferrão, Joaquim, Mata, Pedro
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.21/14653
Resumo: Artigo publicado em revista científica internacional
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spelling Does Indian commodity futures markets exhibit price discovery? An empirical analysisIntertemporal dimensionDynamicsSpot pricesFuture marketsArtigo publicado em revista científica internacionalPrice 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. ,e 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.HindawiRCIPLPani, UpanandaGherghina, Ştefan CristianMata, Mário NunoFerrão, JoaquimMata, Pedro2022-05-23T11:26:55Z2022-03-082022-03-08T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.21/14653engPani, U., Gherghina, Ş. C., Mata, M. N., Ferrão, J. A., & Mata, P. N. (2022). Does Indian Commodity Futures Markets Exhibit Price Discovery? An Empirical Analysis. Discrete Dynamics in Nature and Society. 6431403, 1-14. https://doi.org/10.1155/2022/6431403https://doi.org/10.1155/2022/6431403info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-08-03T10:11:07Zoai:repositorio.ipl.pt:10400.21/14653Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T20:22:25.278353Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Does Indian commodity futures markets exhibit price discovery? An empirical analysis
title Does Indian commodity futures markets exhibit price discovery? An empirical analysis
spellingShingle Does Indian commodity futures markets exhibit price discovery? An empirical analysis
Pani, Upananda
Intertemporal dimension
Dynamics
Spot prices
Future markets
title_short 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_sort Does Indian commodity futures markets exhibit price discovery? An empirical analysis
author Pani, Upananda
author_facet Pani, Upananda
Gherghina, Ştefan Cristian
Mata, Mário Nuno
Ferrão, Joaquim
Mata, Pedro
author_role author
author2 Gherghina, Ştefan Cristian
Mata, Mário Nuno
Ferrão, Joaquim
Mata, Pedro
author2_role author
author
author
author
dc.contributor.none.fl_str_mv RCIPL
dc.contributor.author.fl_str_mv Pani, Upananda
Gherghina, Ştefan Cristian
Mata, Mário Nuno
Ferrão, Joaquim
Mata, Pedro
dc.subject.por.fl_str_mv Intertemporal dimension
Dynamics
Spot prices
Future markets
topic Intertemporal dimension
Dynamics
Spot prices
Future markets
description Artigo publicado em revista científica internacional
publishDate 2022
dc.date.none.fl_str_mv 2022-05-23T11:26:55Z
2022-03-08
2022-03-08T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.21/14653
url http://hdl.handle.net/10400.21/14653
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Pani, U., Gherghina, Ş. C., Mata, M. N., Ferrão, J. A., & Mata, P. N. (2022). Does Indian Commodity Futures Markets Exhibit Price Discovery? An Empirical Analysis. Discrete Dynamics in Nature and Society. 6431403, 1-14. https://doi.org/10.1155/2022/6431403
https://doi.org/10.1155/2022/6431403
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Hindawi
publisher.none.fl_str_mv Hindawi
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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