Research Article
Does Indian Commodity Futures Markets Exhibit Price Discovery? An Empirical Analysis
Table 8
Johansen and Juselius cointegration rank test of spot and futures prices.
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Note. Critical values of for 1%, 5%, and 10% significance levels are 24.6, 19.96, and 17.85, respectively. Critical values of for 1%, 5%, and 10% are 12.97, 9.24, and 7.25, respectively. Critical values of for 1%, 5%, and 10% are 20.2, 15.67, and 13.75, respectively. Critical values of for 1%, 5%, and 10% are 12.97, 9.27, and 7.52, respectively. AIC lag selection criteria are used for the estimation. |