Price Discovery and Asymmetric Volatility Spillovers in Indian Spot-Futures Gold Markets

Srinivasan P and P. Ibrahim ()
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P. Ibrahim: Department of Economics, Pondicherry University, Kalapet, Pondicherry, India

International Journal of Business and Economic Sciences Applied Research (IJBESAR), 2012, vol. 5, issue 3, 65-80

Abstract: This study attempts to examine the price discovery process and volatility spillovers in Gold futures and spot markets of National Commodity Derivatives Exchange (NCDEX) by employing Johansen’s Vector Error Correction Model (VECM) and the Bivariate ECM-EGARCH(1,1) model. The empirical result confirms that the spot market of Gold plays a dominant role and serves as effective price discovery vehicle. Besides the study results show that the spillovers of certain information take place from spot market to futures market and the spot market of gold have the capability to expose the all new information through the channel of its new innovation.

Keywords: Price Discovery; Asymmetric Volatility Spillover; Cointegration; VECM; EGARCH Model (search for similar items in EconPapers)
JEL-codes: C51 G13 G14 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (18)

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Persistent link: https://EconPapers.repec.org/RePEc:tei:journl:v:5:y:2012:i:3:p:65-80

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