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

Table 6

Unit root test of spot and futures prices (level and difference) for the selected commodities.

Group	Levels (log)				First difference (log)
	Commodity	Constraint	Spot	Future	Constraint	Spot	Future	Integration
Bullion	Gold	I and T	−3.01	−2.90	I	−10.48	−10.42	I (1)
	Silver	I and T	−1.72	−2.12	I	−10.67	−10.22	I (1)
Base metals	Aluminum	I and T	−1.85	−1.81	I	−10.37	−10.77	I (1)
	Copper	I and T	−1.90	−2.15	None	−11.54	−8.49	I (1)
	Lead	I	−1.67	−1.79	None	−9.74	−9.71	I (1)
	Nickel	I	−1.89	−1.73	I and T	−11.26	−10.84	I (1)
	Zinc	I	−1.22	−1.16	None	−10.69	−10.50	I (1)
Energy	Crude oil	I and T	−1.76	−1.80	None	−12.37	−10.92	I (1)
	Natural gas	I	−2.20	−2.05	None	−10.12	−10.27	I (1)

Note. The Fuller critical values for ADF test at 1%, 5%, and 10% are -3.43, −2.86, −2.57, respectively for constant. The Fuller critical values for ADF test at 1%, 5%, and 10% are -3.96, −3.41, and −3.12, respectively for constant + time trend (denoted by I and T). The Fuller critical values for ADF test at 1%, 5%, and 10% are −2.58, −1.95, and −1.62, respectively for no constant or time trend (denoted by none).