The paper aims to examine the price discovery process in the Indian Gold Futures market, for the period 2009 – 2014, in the Multi Commodity Exchange of India. The study has employed Johansen cointegration and Johansen’s Vector Error Correction Model (VECM) for the analysis. The findings of the study show that there is a feedback relationship between the spot and futures market of Gold in India. It shows that both markets are efficient.
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Author Name: Mallika Kumar, M. M. Sulphey
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Keywords: price discovery; gold futures; lag; information
ISSN: 2225-3467
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