Do the Spot and Futures Markets for Commodities in India Move Together
研究了印度商品市场中现货与期货价格的长期和短期协整关系，发现多数商品两者长期协整，且现货价格是期货价格的格兰杰原因。
The objective of this paper is to study the relationship between spot and futures prices of commodities in the Indian commodity market. Few agricultural and non-agricultural commodities have been involved in analyzing the co-movements of the spot and the futures prices. Long-run and short-run cointegartions between spot and futures prices have been tested for the selected commodities. The lead/lag relationship between spot and futures prices has been examined by using Granger causality test. The study shows that spot and futures prices are cointegrated in long-run for most of the commodities. Information spillover observed form spot market to spot market for most of the commodities. Moreover, the Granger causality test shows that spot prices are the Granger cause of futures prices for all the commodities except the index MCXAGRI. Bi-directional information is also observed flow for a number of commodities.