Price Discovery in Commodity Market – An Empirical Study on the Silver Market

نویسندگان

  • Sridhar L S
  • Charles Ambrose
چکیده

This research examines whether precious metals futures serve as a price discovery vehicle for spot market movement. The spot price serves as a price discovery tool for silver. The co-integration test shows that silver, futures and spot prices are co-integrated and there exists one co-integration equation. The Granger causality test shows that there is no bi-causal relationship between futures and spot prices. Spot price significantly influences the future price. The Error Correction Estimates show that spot price does not cause by itself but it influences the future price in one lag. On the other hand, future price does neither cause by itself nor influences the spot price in two lags. Hence, similarly spot price does not Granger causes the future price. It means the dissemination of information is not in a sound form between future and spot price.

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تاریخ انتشار 2016