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Abhyankar, A. (1996) Does the Stock Index Futures Market Tend to Lead the Cash? New Evidence from the FT-SE 100 Stock Index Futures Market. Working Paper No. 96-01, Department of Accounting and Finance, University of Stirling, Stirling.

has been cited by the following article:

• TITLE: The Inter-Temporal Causal Nexus between Indian Commodity Futures and Spot Prices: A Wavelet Analysis

  AUTHORS: Anto Joseph, Garima Sisodia, Aviral Kumar Tiwari

  KEYWORDS: Commodity Futures, Price Discovery, Causality, Wavelet Analysis

  JOURNAL NAME: Theoretical Economics Letters, Vol.5 No.2, April 22, 2015

  ABSTRACT: This study examines the inter-temporal causal nexus between Indian commodity futures and spot prices by using wavelet analysis. Wavelet analysis offers an effective alternative tool to examine the inter-temporal causal relationship in time as well as frequency domains, providing a deeper understanding of direction, strength and extent of such causal relationship; whereas traditional econometric causality analysis tools focus only on the time domain. The empirical results of wavelet analysis suggest that the Indian commodity futures market has a powerful price discovery function in all the selected commodities, which in turn indicates the efficiency of the Indian commodity futures market.