Price formation in Indian gold market: Analysing the role of gold Exchange Traded Funds (ETFs) against spot and futures markets

Kaur, Prabhdeep; Singh, Jaspal

doi:10.1016/j.iimb.2019.07.017

Cited by 3 publications

(2 citation statements)

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“…As such, expanded policies and enforcement are required, as well as expanded broker and dealer involvement in the commodities market, the insertion of exotic commodity derivatives, and heightened transparency and disclosure [17]. Besides, through investor awareness campaigns, the SEBI can strive to strengthen public awareness about the latest financial instruments [21].…”

Section: Concluding Remarks and Policy Implicationsmentioning

confidence: 99%

“…e present study thus attempts to determine the price discovery role of the commodities traded in newly established futures exchanges. Prior studies for India were focused on spot and futures agricultural commodity markets [15][16][17][18][19][20], gold exchange traded funds [21], metals [22], spot and futures index [23,24], daily futures, and spot closing prices for various commodities [25][26][27], both commodities and indices [28]. As compared with earlier literature, the novelty of the current study consists in the fact that three commodity groups are covered, namely, bullion (gold, and silver), metal (aluminum, copper, lead, and zinc), and energy (crude oil and natural gas) over a longer period, respectively, (2006)(2007)(2008)(2009)(2010)(2011)(2012)(2013)(2014)(2015)(2016)(2017)(2018).…”

Section: Introductionmentioning

confidence: 99%

See 1 more Smart Citation

Does Indian Commodity Futures Markets Exhibit Price Discovery? An Empirical Analysis

Pani

Gherghina

Mata

et al. 2022

Discrete Dynamics in Nature and Society

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Price 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. The 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.

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Section: Concluding Remarks and Policy Implicationsmentioning

confidence: 99%