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

Table 7

Granger causality test of spot and futures returns for the selected commodities.

Group	Commodity	Spot does not Granger cause futures		Futures does not Granger cause spot
		F-stat	-value	F-stat	-value
Bullion	Gold	6.052	0.001	175.114	0.001
	Silver	2.193	0.031	140.548	0.001
Base metals	Aluminum	9.254	0.001	23.913	0.001
	Copper	0.391	0.892	62.022	0.001
	Lead	5.235	0.001	37.201	0.001
	Nickel	3.135	0.001	46.284	0.001
	Zinc	3.164	0.001	69.612	0.001
Energy	Crude oil	3.542	0.001	116.842	0.001
	Natural gas	0.781	0.592	76.021	0.001

Note. Spot and futures represent spot return and futures return, respectively. value (0.001) refers to the significance at 1% level.