- Cross-Market Soybean Futures Price Discovery: Does the Dalian Commodity Exchange Affect the Chicago Board of Trade?

Commodities ◽  
2015 ◽  
pp. 226-247
Keyword(s):  
Price Discovery ◽  
Commodity Exchange ◽  
Futures Price ◽  
Chicago Board Of Trade

Price Discovery in precious metals market: A study of Gold

GIS Business ◽  
2018 ◽  
Vol 13 (6) ◽  
pp. 13-20
Author(s):  
Dr. Narender Kumar ◽  
Mrs. Sunita Arora
Keyword(s):  
Granger Causality ◽  
Price Discovery ◽  
Precious Metals ◽  
Futures Market ◽  
Study Data ◽  
Futures Prices ◽  
Causality Test ◽  
Commodity Exchange ◽  
Long Time

Gold is the oldest known precious metal on this earth and for a long time it has been used as a standard currency. The present study has been undertaken with an attempt to analyze whether Indian futures market is playing its role of price discovery in case of gold or not. For the purpose of study, data for spot and futures prices for a period of four and a half years starting from June 2005 to December 2009 has been collected from the website of Multi Commodity Exchange of India Limited, India’s largest commodity exchange in terms of value of trading on commodity exchanges in India. Data has been tested for statioanrity and was found non stationary. It was then transformed to make it stationary. On the basis of Johansen’s cointegration test, series of spot and futures prices were found cointgrated. Granger Causality test was applied on stationary data. The results of the study show that futures market in India is performing its role of price discovery in case of Gold. Keywords: Price Discovery, Commodity Market, Granger Causality, Cointegration.

Domestic and International Information Linkages between Gold Spot and Futures Markets: An Empirical Study for India

Metamorphosis ◽  
2018 ◽  
Vol 17 (1) ◽  
pp. 1-17
Author(s):  
Mala Dutt ◽  
Sanjay Sehgal
Keyword(s):  
Information Transmission ◽  
Price Discovery ◽  
Spot Market ◽  
Discovery Process ◽  
Commodity Exchange ◽  
Volatility Spillovers ◽  
Gold Futures ◽  
Information Linkages ◽  
Price Discovery Process ◽  
International Exchanges

This article examines information linkages between gold spot market in India and gold futures at India’s Multi Commodity Exchange (MCX) and five international platforms [i.e., Commodity Exchange (COMEX), Dubai Gold and Commodity Exchange (DGCX), Tokyo Commodity Exchange (TOCOM), Hong Kong Exchange (HKE) and Singapore Mercantile Exchange (SMX)] from August 2008 to March 2015. Cointegration procedure and vector error correction model (VECM), supported by Granger causality, are employed to study price discovery process, and bivariate EGARCH-BEKK model is used to examine volatility spillover process. At domestic level, spot market dominates the futures in information transmission process. Internationally, DGCX leads all other exchanges in price discovery process, while COMEX leads in volatility spillovers. In price discovery, MCX leads only TOCOM till August 2013, while price discovery is absent thereafter. In volatility spillovers, MCX dominates TOCOM and HKE till this period and only HKE afterwards. Thus, information linkages between MCX and international exchanges appear to have been impacted severely since August 2013. The study highlights the need to re-establish price and volatility linkages between Indian and international exchanges, and also provides significant suggestions for policymakers. The study is relevant for investors, researchers and the academia. It contributes to market efficiency and information transmission literature for commodity markets.

Price Discovery in Wheat Futures Markets

1999 ◽  
Vol 31 (2) ◽  
pp. 359-370 ◽  
Author(s):  
Jian Yang ◽  
David J. Leatham
Keyword(s):  
Kansas City ◽  
Futures Markets ◽  
Price Discovery ◽  
Equilibrium Price ◽  
Long Run ◽  
Chicago Board Of Trade

AbstractThis paper examines the price discovery function for three U.S. wheat futures markets: the Chicago Board of Trade, Kansas City Board of Trade, and Minneapolis Grain Exchange. The maintained hypothesis is that futures markets search more for information than cash markets to find an equilibrium price, thus greatly improving the price discovery function. The tests reveal the existence of one equilibrium price across the three futures markets in the long run, but no cointegration among prices in the three representative cash markets.

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