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Empirical Study on Price Discovery Role in Non-Precious Metals Market in India


Affiliations
1 WISDOM, State Bank of India School of Commerce and Banking, Banasthali University, India
2 FLAME University, Pune, India
 

Demand for most industrial metals signifies the pick-up in the level of economic activity in the country. Industrial metals saw asubstantial increase in trading interest on Multi Commodity Exchange, which raises the need to analyse the market efficiency and the relationship between spot and futures market.Statistical tools like ADF, Johansen Co-integration Test and Vector Error Correction Model (VECM) are applied to see the lead lag relationship between spot and future market of various industrial metals like Copper, Aluminium, Nickel, Lead and Zinc. Empirical results prove bidirectional causality and Spot market adjusts at a faster pace to restore long-run equilibrium in most of the industrial metals.

Keywords

Future Price, Johansen Co-Integration Test, Metals, Spot Price, Vecm Granger Causality Test.
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  • Empirical Study on Price Discovery Role in Non-Precious Metals Market in India

Abstract Views: 302  |  PDF Views: 98

Authors

Harsh Purohit
WISDOM, State Bank of India School of Commerce and Banking, Banasthali University, India
Shernaz Bodhanwala
FLAME University, Pune, India
Nidhi Choudhary
WISDOM, State Bank of India School of Commerce and Banking, Banasthali University, India

Abstract


Demand for most industrial metals signifies the pick-up in the level of economic activity in the country. Industrial metals saw asubstantial increase in trading interest on Multi Commodity Exchange, which raises the need to analyse the market efficiency and the relationship between spot and futures market.Statistical tools like ADF, Johansen Co-integration Test and Vector Error Correction Model (VECM) are applied to see the lead lag relationship between spot and future market of various industrial metals like Copper, Aluminium, Nickel, Lead and Zinc. Empirical results prove bidirectional causality and Spot market adjusts at a faster pace to restore long-run equilibrium in most of the industrial metals.

Keywords


Future Price, Johansen Co-Integration Test, Metals, Spot Price, Vecm Granger Causality Test.

References