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

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  • P. Srinivasan

    ()
    (Department of Economics, Christ University, Hosur Road, Bangalore 560029, Karnataka, India)

  • P. Ibrahim

    ()
    (Department of Economics, Pondicherry University, Kalapet, Pondicherry, India)

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.

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Bibliographic Info

Article 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)
Pages: 65-80

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Handle: RePEc:tei:journl:v:5:y:2012:i:3:p:65-80

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Keywords: Price Discovery; Asymmetric Volatility Spillover; Cointegration; VECM; EGARCH Model;

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