Journal of Commerce and Accounting Research

2024 | Volume 13 | Issue Issue 2

Price Discovery and Volatility Spillover: An Empirical Analysis of Indian Futures-Spot Cardamom Markets

1. Sonia Garg – Haryana School Of Business, Guru Jambheshwar University Of Science And Technology, Hisar, Haryana

2. Karam Pal Narwal – Haryana School Of Business, Guru Jambheshwar University Of Science And Technology, Hisar, Haryana

Received
15-Feb-2024 		Accepted
- 		Published
15-Feb-2024
Abstract
Price discovery and its related volatility spillover effect are significant indicators in commodity derivatives market to hedge the risk against sharp price fluctuations. This study empirically analyses the price discovery and volatility spillover using vector error correction model, Granger causality and bivariate exponential GARCH model (EGARCH) in Indian cardamom spot-futures markets. Daily time series data of spot market and near month futures contracts spanning the period from January 2009 to December 2020 have been used for the study. These price series data are based on the authenticated sources of Multi Commodity Exchange. The results of vector error correction model supported by Granger causality test indicates that spot market plays the role of leader as it is more efficient in reflecting the new information to prices. The results of bivariate EGARCH (1,1) model show that volatility spillover from cardamom spot market to futures market is dominant.

DOI: https://doi.org/10.21863/jcar/2024.13.2.007

Keywords Volatility Spillover, Price Discovery, Cardamom, MCX
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