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

Table 8

Johansen and Juselius cointegration rank test of spot and futures prices.

Group	Commodity	Lag length	Maximum trace value		Maximum eigen value		Remark
			H0: rank = 0 vs H1: rank = 1	H0: rank = 1 vs H1: rank = 2	H0: rank = 0 vs H1: rank = 1	H0: rank = 1 vs H1: rank = 2
Bullion	Gold	10	18.84	2.44	14.40	2.44	NS
	Silver	6	37.22	3.65	33.57	3.65	1
Base metals	Aluminum	6	60.95	2.87	58.08	2.87	1
	Copper	7	72.45	3.66	68.80	3.66	1
	Lead	9	55.10	3.37	51.73	3.37	1
	Nickel	10	29.77	4.31	25.46	4.31	1
	Zinc	8	51.04	2.85	48.19	2.85	1
Energy	Crude oil	10	23.50	3.65	20.85	3.65	1
	Natural gas	4	14.90	3.08	11.81	3.08	NS

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.