The lead–lag relationship between spot and futures prices : empirical evidence from the Indian commodity market

dc.contributor.authorPradhan, Rudra P.
dc.contributor.authorHall, J.H. (John Henry)
dc.contributor.authorDu Toit, Elda
dc.contributor.emailjohn.hall@up.ac.zaen_ZA
dc.date.accessioned2021-10-19T06:02:38Z
dc.date.issued2021-03
dc.description.abstractThis paper examines the relationship between spot and futures prices in the Indian commodity market for the period 2009 to 2020. The ARDL bounds-testing technique is used to explore the long-run relationship between these two prices. A vector error correction model is then used to reveal the nature of Granger causality between the two. Six commodities, namely aluminum, copper, crude oil, gold, nickel, and silver, and three indices, namely agricultural, livestock, and precious metals, are used for this empirical process. The results indicate a long-run equilibrium relationship between the spot and futures prices of these commodities. The causality analysis reveals unidirectional causality in the long run from the spot to the futures price for aluminum and copper, and both bidirectional and unidirectional causality in the short run between the two prices for aluminum, copper, gold, and silver.en_ZA
dc.description.departmentFinancial Managementen_ZA
dc.description.embargo2023-11-30
dc.description.librarianhj2021en_ZA
dc.description.urihttp://www.elsevier.com/locate/resourpolen_ZA
dc.identifier.citationPradhan, R.P., Hall, J.H. & Du Toit, E. 2021, 'The lead–lag relationship between spot and futures prices : empirical evidence from the Indian commodity market', Resources Policy, vol. 70, art. 101934, pp. 1-9.en_ZA
dc.identifier.issn0301-4207 (print)
dc.identifier.issn1873-7641 (online)
dc.identifier.other10.1016/j.resourpol.2020.101934
dc.identifier.urihttp://hdl.handle.net/2263/82169
dc.language.isoenen_ZA
dc.publisherElsevieren_ZA
dc.rights© 2020 Elsevier Ltd. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Resources Policy. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in Resources Policy, vol. 70, art. 101934, pp. 1-9, 2021. doi : 10.1016/j.resourpol.2020.101934.en_ZA
dc.subjectSpot priceen_ZA
dc.subjectFutures priceen_ZA
dc.subjectAutoregressive distributed lag (ARDL)en_ZA
dc.subjectVector error correction model (VECM)en_ZA
dc.subjectCommodity marketsen_ZA
dc.subjectIndiaen_ZA
dc.titleThe lead–lag relationship between spot and futures prices : empirical evidence from the Indian commodity marketen_ZA
dc.typePostprint Articleen_ZA

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