A Study of Indian Copper Market in Multi-Commodity Exchange
- 1 Department of Management, Studies & Research Centre, B.M.S.C.E, Bangalore, Karnataka, India
- 2 Department of Management, Studies & Research Centre, B.M.S.C.E, Bangalore, Karnataka, India
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 dis covery. 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.
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