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.