This study examines the process of information transmission in India's agriculture commodity futures market by investigating the price discovery and direction of volatility spillovers between futures and spot prices of nine agricultural commodities viz., Barley, Cardamom, Castor seed, Chana...

This paper examines the price discovery and volatility spill-over relationship for Indian commodity markets. We cover twelve actively traded commodities including agriculture, metal and energy and four commodity indices. Price discovery is confirmed for eight commodities and three indices with a...

This study examines important aspects of lottery behavior in India using data from December 2001 to March 2021. We experiment with a new measure of lottery along with well-established measures. Our lottery measure focusing on more recent information is found to be appropriate for India. MAX has...

In this paper, we empirically investigate the relationship between bid-ask spread, trading activity and intra-day volatility using futures data for five commodities for the sample period of 2006-2010. We have considered five commodities from four categories in our study viz., Gold from precious...

This paper examines the impact of futures market liquidity on underlying spot market volatility of India's agriculture commodity market for the sample period of 01 January, 2009 to 31 May, 2013. The sample commodities are Barley, Castor seed, Chana (Chickpea), Chilli, Potato, Pepper, Refined...