Download or read book Price Discovery and Spill-Over Impact in The Indian Commodity Futures Market written by Chinmaya Behera and published by . This book was released on 2017 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: Price discovery and risk management are two major important economic functions of futures market. Price discovery gives competitive reference (futures) price from which spot price can be derived. The study examines price discovery and spill-over impact in the Indian futures market using metal and energy futures. Sample data consist of daily futures and spot closing price from 1st June, 2005 to 29th January 2016 for gold, silver and copper. Using cointegration and error correction mechanism, the study finds the fair price discovery in the futures market. The study also finds that price discovery takes place first in the futures market then transgresses to spot market. Ratio of standard deviation is used to check the market efficiency in the futures market and it is found that gold market is not efficient as it fails to incorporate all the information available in the market. Using BEKK model volatility spill-over impact is observed to be statistically significant in all the commodity spot and futures returns. Bidirectional shocks transmission can be observed across the commodities like gold, silver and copper which means shocks in the futures market do have impact on spot market volatility for gold, silver and copper.