This study attempts to examine the price discovery process and volatility spillovers in Gold futures and spot markets of National Commodity Derivatives Exchange (NCDEX) by employing Johansen’s Vector Error Correction Model (VECM) and the Bivariate ECM-EGARCH(1,1) model. The empirical result...

International studies advocate that the introduction of futures is an important event leading to efficient market microstructure. This paper probes into the repercussions on the underlying spot market volatility due to the introduction of futures operations in Nifty. The study period analyzed...