文章基本信息

标题：PRICE DISCOVERY AND VOLATILITY SPILLOVER IN SPOT AND FUTURES: AN EMPIRICAL STUDY OF GOLD MARKET IN INDIA
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作者：Piyush Pandey
期刊名称：Tactful Management
印刷版ISSN：2319-7943
电子版ISSN：2319-7935
出版年度：2014
卷号：2
期号：10
页码：1
出版社：Laxmi Book Publication
摘要：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.
关键词：price discovery;information transmission;volatility spillover;market efficiency