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• W2005106917 abstract "The purpose of this paper is to explore the nexus between spot returns and futures contracts for crude oil, gold and study whether future trading volume react faster to news and help to predict spot returns. We examine the effect in the Indian context using data from the multi commodity exchange (MCX) of India from January 2005 until May 2012. The vector autoregressive model (VAR), Granger causality Wald test, variance decomposition and impulse response function are applied to the data collected. The results exhibited that for both crude oil and gold, the future trading volume is influenced by its own past than the past spot returns. Further, bidirectional causality runs from gold spot returns to gold futures trading volume. Contrarily, we do not have sufficient evidence to support that crude futures trading volume aid in the forecast of crude spot returns in India. Overall, the finding implies that gold futures trading volume react faster to information and help to predict the gold spot returns than crude oil in the Indian commodity markets." @default.
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• W2005106917 date "2015-01-01" @default.
• W2005106917 modified "2023-09-25" @default.
• W2005106917 title "Exploring the nexus between futures contracts and spot returns in the Indian commodity market" @default.
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• W2005106917 doi "https://doi.org/10.1504/ijicbm.2015.068493" @default.
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