Lead - Lag Relationship between Spot and Futures Market of Indian Metal Commodity Market

This paper examined the lead-lag relationship between the futures market and spot market for the metal commodity market during the sample period January 2010 through August 2014. The econometric tools like Unit root tests, Johansen co-integration test and Pairwise Granger Causality tests were employed in the study. The Augmented Dickey Fuller tests and Phillips-Perron tests employed in the study proved that both the selected metals markets were stationary series, Johansen co-integration test proved selected metals spot and future markets are co-integrating each other and the Granger Causality test proved uni-causality relationships among these markets between spot and future market return series during the study period