TITLE:
A Study of Indian Copper Market in Multi-Commodity Exchange
AUTHORS:
R. Sushma, B. N. Shubha
KEYWORDS:
G1: Commodity Market, Base Metal, Price Discovery
JOURNAL NAME:
Modern Economy,
Vol.13 No.1,
January
18,
2022
ABSTRACT: This paper examines the relationship between spot
and futures prices in the Indian commodity market from 2015-2019, considering
copper as one of the base metals. In this study, the closing spot and future
price data obtained from Multi commodity exchange of India are used to
investigate price discovery. Various
econometric tools are used to explore the long and the short-run
relationship between spot and futures prices. ADF, Johansen’s and Juliesus
cointegration test, Vector Error Correction Model Test, Granger causality is
carried out during the empirical process. The statistical result of the study
indicates that the price is first discovered in the spot market for copper
during the study period. The granger causality test indicates that it is
unidirectional in the short run.