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Journals / Bogazici Journal: Review of Social, Economic and Administrative Studies / 2011 / Cilt: 25 - Sayı: 1

Price Discovery in Emerging Commodity Markets: Spot and Futures Relationship in Indian Commodity Futures Market

GELİŞEN EMTİA PİYASALARINDA FİYAT KEŞFİ: HİNDİSTAN VADELİ EMTİA İŞLEMLERİ PİYASASINDA SPOT VE VADELİ İŞLEMLER İLİŞKİSİ

Brajesh KUMAR
Ajay PANDEY
Pages
79–121
DOI
—
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

In the case of industrial metals, LME spot prices (which are taken as spot prices for settlement by Indian exchanges) play a significant role in the price discovery process in the Indian market.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:The price discovery role of the Indian commodity futures markets is investigated through return and volatility spillovers between spot and futures prices.
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Key Findings & Data:For agricultural commodities, the price discovery takes place in both spot and futures markets.
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Conclusion & Impact:In the case of industrial metals, LME spot prices (which are taken as spot prices for settlement by Indian exchanges) play a significant role in the price discovery process in the Indian market.
🔬Design:Research Article
📍Scope:Comprehensive Sample
⚙️Variables:Domain Parameters

Abstract

The price discovery role of the Indian commodity futures markets is investigated through return and volatility spillovers between spot and futures prices. For agricultural commodities, the price discovery takes place in both spot and futures markets. However, in the harvest period, when the futures trading volume is high, the futures market leads the spot market whereas in the lean period both markets jointly perform a price discovery. For the precious metals and energy commodities, the futures markets lead the price discovery role. In the case of industrial metals, LME spot prices (which are taken as spot prices for settlement by Indian exchanges) play a significant role in the price discovery process in the Indian market.

Özet

Hindistan Vadeli Emtia Piyasaları'nın fiyat keşfindeki rolü, spot ve vadeli işlemlerin fiyatları arasındaki fiyat ve oynaklık yayılması (spillover)incelenerek araştırılmaktadır. Tarım ürünleri için, hem spot hem de vadeli işlemler piyasalarında fiyat keşfi olmaktadır. Vadeli alış satışların yüksek olduğu hasat zamanında, vadeli işlemler piyasası spot piyasalara öncülük ederken vadeli alış satışların zayıf olduğu dönemlerde her iki piyasa beraber fiyatları belirlemektedirler. Değerli metaller ve enerji piyasalarında ise, vadeli işlemler piyasası fiyat keşfinde öncülük etmektedir. Sınai metaller göz önüne alındığında ise, Hindistan piyasasındaki fiyat keşfinde, Londra Metal Borsası (LME) spot fiyatları (Hindistan borsaları tarafından uzlaşma için bu fiyatlar, spot fiyatlar olarak kabul edilirler) önemli bir rol oynamaktadırlar.

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Cite This Article

KUMAR, B., PANDEY, A. (2011). Price Discovery in Emerging Commodity Markets: Spot and Futures Relationship in Indian Commodity Futures Market. Bogazici Journal: Review of Social, Economic and Administrative Studies, Cilt: 25 - Sayı: 1, 79–121. https://ajindex.com/articles/145828

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