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Investment Option in Gold – A Study on Price Discovery of Gold Futures in India

Author

Listed:
  • Mallika Kumar

    (Bharathiar University, India)

  • M. M. Sulphey

    (TKM Institute of Management, India)

Abstract

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.

Suggested Citation

  • Mallika Kumar & M. M. Sulphey, 2015. "Investment Option in Gold – A Study on Price Discovery of Gold Futures in India," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 4(4), pages 231-238, November.
  • Handle: RePEc:ods:journl:v:4:y:2015:i:4:p:231-238
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    References listed on IDEAS

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    3. Param Silvapulle & Imad A. Moosa, 1999. "The relationship between spot and futures prices: Evidence from the crude oil market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 19(2), pages 175-193, April.
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    Keywords

    price discovery; gold futures; lag; information;

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