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| Article Name : | | | PRICE DISCOVERY AND VOLATILITY SPILLOVER IN SPOT AND FUTURES: AN EMPIRICAL STUDY OF GOLD MARKET IN INDIA | | Author Name : | | | Piyush Pandey | | Publisher : | | | Ashok Yakkaldevi | | Article Series No. : | | | ISRJ-213 | | Article URL : | |  | Author Profile | | Abstract : | | | If markets are informationally efficient then information should be factored in both spot and derivatives markets simultaneously, but market imperfections leads to lead/ lag relationship and one market acts a dominant while other acts a satellite market. In this study, we examine the price discovery and volatility spillover between spot and futures segments of gold market in India. The daily data files stretch from 1 April 2009 to 31 March 2014. Cointegration and related tools were used to examine the price discovery process and empirical results suggested bidirectional causality between spot and futures. A bivariate EGARCH model was used to study volatility spillover. Empirical results for information transmission through volatility spillover suggest that it is the spot market which leads the futures. The study contributed to the information transmission literature in India for commodity markets ie. gold. | | Keywords : | | - price discovery
- information transmission
- volatility spillover
- market efficiency
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