Price Discovery in Indian Gold Market

Abhishek Halder and Himanshu Sharma
Additional contact information
Abhishek Halder: Indian Institute of Management Ahmedabad, India
Himanshu Sharma: Fixed Income Analyst, Bank of America, India.

Post-Print from HAL

Abstract: Market volatility and collapse of world's currencies have led investors and public in general to look for alternate assets like gold which has been identified as a good hedge against inflation whilst also holding sentimental value in the Indian context. Gold futures market is highly liquid and traded across different exchanges. This study is conducted to see if efficient market hypothesis allows for price discovery of gold spot prices from gold futures and volume traded in market using monthly data from 2009-2019. Results show that the lagged volumes of traded gold stocks do not affect the futures or spot prices of gold. Rather, the lagged futures prices cause change in spot prices of domestic gold prices. It is also found that troughs of international gold prices does not necessarily coincidence with slump in domestic gold prices which remains resilient due to domestic market sentiments. To conclude, this paper will help policymakers to design specialized gold products and make suitable future policy changes in the Indian domestic market.

Date: 2021-03-09
References: Add references at CitEc
Citations:

Published in Asian Journal of Economics, Finance and Management , 2021, 3 (1), pp.74-89

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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: https://EconPapers.repec.org/RePEc:hal:journl:hal-05188006

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().