Lead-Lag Relationship and Price Discovery in Indian Commodity Derivatives and Spot Market : An Example of Pepper

This study examines the lead-lag relationship and price discovery process between spot and futures market of pepper in India by employing Johansen's cointegration test and the bivariate VECM-EGARCH(1, 1) models. Augmented Dickey-Fuller (ADF) and Phillips Perron (PP) tests are used to check the stationarity of the price series. The study finds that spot market absorbs the information faster than futures market, and therefore, the former plays a significant role in the price discovery process

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Year of publication:	2015
Authors:	Naik, Vasantha
Other Persons:	Mallikarjunappa, T. (contributor)
Publisher:	[2015]: [S.l.] : SSRN
Subject:	Indien \| India \| Rohstoffderivat \| Commodity derivative \| Derivat \| Derivative \| Spotmarkt \| Spot market
Description of contents:	Abstract [papers.ssrn.com]

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Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: The IUP Journal of Applied Finance, Vol. 21, No. 1, January 2015, pp. 71-83 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 16, 2015 erstellt Volltext nicht verfügbar
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013015374