Investigating long-run cointegration and lead lag relationship between spot and future markets of energy commodities

The study tries to investigate the cointegration and causality relationship between spot future prices of crude oil natural gas traded on Multi Commodity Exchange (MCX) India. has used daily closing commodities under from period 2005 2020. data is converted into stationary time series which a mandatory condition for analysis. results Johansen Co-integration test reveals that there long-run both commodities. Appropriate lag length was selected by using Schwarz information Criterion (SIC) criteria. estimates VEC Granger Causality Test/Block Exogeneity Wald Test show bi-directional in gas. markets energy are equally efficient adjusting new their equilibrium absence any lead-lag markets.