Does Indian Commodity Futures Markets Exhibit Price Discovery? An Empirical Analysis

Table 10

Vector error correction model for futures price of the selected commodities.

Coefficients	Silver	Aluminum	Copper	Lead	Nickel	Zinc	Crude oil
	0.08	0.10	0.01	0.17	0.05	0.07	0.04
	(4.30)	(4.50)	(0.23)	(3.19)	(1.63)	(2.04)	(3.01)
	0.14	0.20	−0.02	0.22	0.15	0.12	0.08
	(4.05)	(7.34)	(−0.03)	(6.03)	(3.90)	(3.54)	(3.16)
	0.08	0.16	0.01	0.18	0.15	0.10	0.08
	(2.15)	(5.32)	(1.11)	(4.29)	(3.21)	(2.48)	(2.58)
	0.08	0.13	0.07	0.18	0.17	0.13	0.08
	(1.97)	(4.18)	(0.23)	(3.73)	(3.42)	(2.78)	(2.75)
	0.06	0.13	0.04	0.15	0.08	0.16	0.11
	(1.54)	(4.10)	(1.02)	(3.02)	(1.62)	(3.45)	(3.66)
	0.10	0.14	0.03	0.17	0.12	0.17	0.12
	(3.16)	(4.17)	(0.62)	(3.22)	(2.16)	(3.54)	(3.85)
	—	—	0.04	0.18	0.08	0.12	0.11
	—	—	(0.05)	(3.17)	(1.56)	(2.61)	(3.40)
	—	—	—	0.15	0.07	0.02	−0.01
	—	—	—	(2.66)	(1.27)	(0.52)	(−0.258)
	—	—	—	0.21	−0.09	—	0.05
	—	—	—	(3.71)	(−1.86)	—	(1.69)
	—	—	—	—	0.01	—	0.04
	—	—	—	—	(0.04)	—	(1.63)
	−0.07	−0.14	−0.02	−0.08	−0.04	−0.05	0.02
	(−2.51)	(−4.61)	(−0.76)	(−1.98)	(−0.86)	(−1.45)	(0.65)
	−0.10	−0.15	0.03	−0.15	−0.12	−0.08	−0.13
	(−2.77)	(−4.43)	(1.09)	(−2.91)	(−2.36)	(−1.85)	(−3.55)
	−0.03	−0.12	0.02	−0.21	−0.23	−0.15	−0.09
	(−0.89)	(−3.57)	(0.81)	(−3.73)	(−4.11)	(−2.86)	(−2.33)
	−0.09	−0.11	0.03	−0.17	−0.16	−0.15	−0.09
	(−2.25)	(−3.01)	(0.95)	(−2.88)	(−2.76)	(−2.89)	(−2.18)
	−0.07	−0.14	0.07	−0.22	−0.06	0.20	−0.13
	(−1.89)	(−3.89)	(2.32)	(−3.50)	(−0.96)	(−3.53)	(−3.26)
	—	—	0.03	−0.22	−0.09	−0.19	−0.12
	—	—	(1.18)	(−3.39)	(−1.49)	(−3.49)	(−2.95)
	—	—	—	−0.20	−0.09	−0.09	−0.09
	—	—	—	(−3.04)	(−1.47)	(−1.85)	(−2.34)
	—	—	—	−0.19	0.01	—	−0.06
	—	—	—	(−2.49)	(0.03)	—	(−1.55)
	—	—	—	—	0.09	—	−0.04
	—	—	—	—	(1.59)	—	(−1.08)
	0.02	0.04	0.01	0.06	0.04	0.03	0.04
	3.44	7.20	1.35	3.98	3.45	2.47	2.96
	32.07	25.29	29.06	54.07	51.16	11.91	51.25
	(0.13)	(0.39)	(0.41)	(0.54)	(0.11)	(0.16)	(0.11)