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