Does Indian Commodity Futures Markets Exhibit Price Discovery? An Empirical Analysis

Price discovery function analyses the dynamics of futures and spot price behavior in an asset’s intertemporal dimensions. The present study examines bullion, metal, energy commodity prices through Granger causality Johansen–Juselius cointegration tests. test results show bidirectional between returns for gold, silver, aluminum, lead, nickel, zinc. Johansen shows that are long-run equilibrium path zinc, crude oil, natural gas. vector error correction model suggest both markets equally efficient nickel. market leads copper However, lead. findings participants implementing hedging arbitrage strategies. It also helps regulators to examine stability these rapidly growing India.