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Does Indian commodity futures markets exhibit price discovery? An empirical analysis

2022-03-08Journal article Open access
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dc.contributor.authorPani, Upananda
dc.contributor.authorGherghina, Ştefan Cristian
dc.contributor.authorMata, Mário Nuno
dc.contributor.authorFerrão, Joaquim
dc.contributor.authorMata, Pedro
dc.date.accessioned2022-05-23T11:26:55Z
dc.date.available2022-05-23T11:26:55Z
dc.date.issued2022-03-08
dc.descriptionArtigo publicado em revista científica internacionalpt_PT
dc.description.abstractPrice discovery function analyses the dynamics of futures and spot price behavior in an asset’s intertemporal dimensions. The present study examines the price discovery function of the bullion, metal, and energy commodity futures and spot prices through the Granger causality and Johansen–Juselius cointegration tests. The Granger causality test results show bidirectional causality between the spot and futures returns for gold, silver, aluminum, lead, nickel, and zinc. The Johansen cointegration test shows that spot and futures prices are in the long-run equilibrium path for silver, aluminum, lead, nickel, zinc, crude oil, and natural gas. The vector error correction model results suggest that both the spot and futures markets are equally efficient in price discovery for the nickel. The spot market leads the futures market in price discovery for copper and zinc. However, the futures market leads the spot market in price discovery for silver, aluminum, and lead. ,e findings of the study suggest the market participants for implementing hedging and arbitrage strategies. It also helps the market regulators to examine the stability of these rapidly growing commodity futures markets in India.pt_PT
dc.description.versioninfo:eu-repo/semantics/publishedVersionpt_PT
dc.identifier.citationPani, U., Gherghina, Ş. C., Mata, M. N., Ferrão, J. A., & Mata, P. N. (2022). Does Indian Commodity Futures Markets Exhibit Price Discovery? An Empirical Analysis. Discrete Dynamics in Nature and Society. 6431403, 1-14. https://doi.org/10.1155/2022/6431403pt_PT
dc.identifier.doihttps://doi.org/10.1155/2022/6431403pt_PT
dc.identifier.urihttp://hdl.handle.net/10400.21/14653
dc.language.isoengpt_PT
dc.peerreviewedyespt_PT
dc.publisherHindawipt_PT
dc.relation.publisherversionhttps://www.hindawi.com/journals/ddns/2022/6431403/?itm_source=bibblio&itm_campaign=bibblio-related&itm_medium=bibblio-sidebar-webpt_PT
dc.subjectIntertemporal dimensionpt_PT
dc.subjectDynamicspt_PT
dc.subjectSpot pricespt_PT
dc.subjectFuture marketspt_PT
dc.titleDoes Indian commodity futures markets exhibit price discovery? An empirical analysispt_PT
dc.typejournal article
dspace.entity.typePublication
oaire.citation.endPage14pt_PT
oaire.citation.startPage1pt_PT
oaire.citation.titleDiscrete Dynamics in Nature and Societypt_PT
person.familyNamePani
person.familyNameGherghina
person.familyNameMata
person.familyNameFerrão
person.familyNameMata
person.givenNameUpananda
person.givenNameŞtefan Cristian
person.givenNameMário Nuno
person.givenNameJoaquim
person.givenNamePedro
person.identifier1403614
person.identifier1784106
person.identifier.ciencia-idFA13-1761-4192
person.identifier.ciencia-id0F1E-8353-FBFD
person.identifier.orcid0000-0002-2974-2206
person.identifier.orcid0000-0003-2911-6480
person.identifier.orcid0000-0003-1765-4273
person.identifier.orcid0000-0001-6051-3367
person.identifier.orcid0000-0001-8465-9539
person.identifier.ridB-7225-2018
person.identifier.ridJ-3339-2012
person.identifier.scopus-author-id56046530600
rcaap.rightsopenAccesspt_PT
rcaap.typearticlept_PT
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relation.isAuthorOfPublication.latestForDiscoveryd297cc6d-ae10-4764-ac8b-5913bda0a3c4

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