Price Discovery and Asymmetric Volatility Spillovers in Indian Spot-Futures Gold Markets
AbstractThis 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Technological Educational Institute (TEI) of Kavala, Greece in its journal International Journal of Economic Sciences and Applied Research (IJESAR).
Volume (Year): 5 (2012)
Issue (Month): 3 (December)
Price Discovery; Asymmetric Volatility Spillover; Cointegration; VECM; EGARCH Model;
Find related papers by JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
You can help add them by filling out this form.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Kostas Stergidis).
If references are entirely missing, you can add them using this form.