Article : Price Discovery And Causality In The Guargum Trading In India

Title

Price Discovery And Causality In The Guargum Trading In India

Author

Tanushree Sharma

 The purpose of this paper is to determine Whether spot price or future price plays vital role in price discovery of Guargum and to what extent . The data for study is the daily closing prices of spot and stock futures of Guargum. Dickey fuller Philip-Perron test, Cointegration test, Granger causality test, Impulse response function and Variance decomposition is conducted . The results of study indicate that the spot market spot price dominates over future market. The study of dynamic price relationship between Guargum spot and  futures prices will be usefull for the traders, regulatory bodies, practitioners, and academicians for price discovery, hedging and arbitrage opportunities. This paper describes and analyzes weather spot or future price lead in price discovery.
JEL Classification: C13, C32, G13, G14, M31, M38, Q13

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