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An empirical study on relationship between future and spot price

Author: 
Dr. Jeelan Basha, V.,
Subject Area: 
Social Sciences and Humanities
Abstract: 

Gold is a chemical element with symbol Au (from Latin: aurum) and atomic number 79. In its purest form, it is a bright, slightly reddish yellow, dense, soft, malleable and ductile metal. This metal has been a valuable and highly sought-after precious metal for coinage, jewellery, and other arts since long before the beginning of recorded history. The world consumption of new gold produced is about 50% in jewellery, 40% in investments, and 10% in industry. The primary purpose of the study is to examine the relationship between the Gold futures prices and Gold spot prices traded in India. The data has been collected from National Commodity & Derivatives Exchange Limited (NCDEX) for the period from May 2015 to Jan. 2016. The results from unit root test (ADF) indicate stationarity at 1st difference. Hence, Johansen’s cointegration test is examined to know the relationship between Gold futures prices and spot prices. The causalitytest reveals no contradictory findings If two or more time-series are cointegrated, then there must be Granger causality between them - either one-way or in both directions. It is concluded that there is long- term relationship between Gold futures prices and spot prices price traded in India on testifying Unit Root Test, Cointegration Test and Pair-wise Granger Causality Test. This study enables to determine which market is possessing better information. Spot prices of Gold are caused by the effects of Future prices. The study is immensely helpful for the investors and portfolio managers to develop effective trading and hedging strategies in the Indian gold market.

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