Economics at your fingertips  

Global Financial Crisis and Price Risk Management in Gold Futures Market- Evidences from Indian & US Markets

Narinder Pal Singh and Archana Singh

Romanian Economic Journal, 2018, vol. 21, issue 68, 111-120

Abstract: Over the globe, gold is one of the most traded commodities. Due to its gobal demand, gold is traded in both spot and futures market. Price risk management is a fundamental but vital function of futures market. To effectively discharge this function, futures market has to be efficient. Thus, it is important to analyze efficiency of futures market. None of the studies in literature analyses price risk management role of gold futures in India and US with reference to global financial crisis of 2008-09. Thus, this study aims at investigating the gold futures role in managing price risk related to gold spot market before and after the crisis in Indian and US markets. The results of Johansen’s cointegration test indicate that the gold spot and futures markets are cointegrated in both the sub-periods in both India and US. Granger causality test results signifies that gold futures play an important role in price discovery in both Indian and US markets, with some feedback from spot market at Multi Commodity Exchange (MCX), India . However, the price discovery role of gold futures markets has strengthened after the crisis in both the markets. Thus, we conclude that gold futures market performs price risk management function in the pre and the post–crisis periods at Multi Commodity Exchange (MCX), India and New York Merchantile Exchange (NYMEX) Comex, US.

Keywords: risk management; efficiency; Gold Futures; Global Financial Crisis; cointegration (search for similar items in EconPapers)
JEL-codes: C22 G01 G14 Q02 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link) ... 06-29/3516/singh.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this article

Romanian Economic Journal is currently edited by Ioan Popa, PhD

More articles in Romanian Economic Journal from Department of International Business and Economics from the Academy of Economic Studies Bucharest Contact information at EDIRC.
Bibliographic data for series maintained by Radu Lupu ().

Page updated 2018-10-27
Handle: RePEc:rej:journl:v:21:y:2018:i:68:p:111-120