Price Discovery and Volatility Spillover: Evidence from Indian Commodity Markets

Sanjay Sehgal, Namita Rajput and Florent Deisting

The International Journal of Business and Finance Research, 2013, vol. 7, issue 3, 57-75

Abstract: This paper examines the price discovery and volatility spill-over relationship for Indian commodity markets. We cover twelve actively traded commodities including agriculture, metal and energy and four commodity indices. Price discovery is confirmed for eight commodities and three indices with a greater role for futures markets in the price discovery process. Price discovery results are encouraging given the nascent character of commodity markets in India. However the market does not seem to be competitive. Volatility spill-over is confirmed for only three commodities and none of the indices. This implies the Indian Commodity Market is yet to evolve an efficient risk transfer system for most commodities. The findings have implications for policy makers, hedgers and investors. The research contributes to alternative investment literature for emerging markets such as India.

Keywords: Price Discovery; Granger Causality; VECM; EGARCH; Volatility; Spillover (search for similar items in EconPapers)
JEL-codes: G13 G14 G15 G18 G32 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (10)

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Working Paper: Price Discovery and Volatility Spillover: Evidence from Indian Commodity Markets (2013)
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