Does Indian Commodity Futures Markets Exhibit Price Discovery? An Empirical Analysis
Table 9
Vector error correction model for spot price of the selected commodities.
Coefficients
Silver
Aluminum
Copper
Lead
Nickel
Zinc
Crude oil
−0.01
−0.06
−0.19
−0.15
−0.07
−0.13
−0.02
(−0.98)
(−2.44)
(−8.34)
(−2.54)
(−2.17)
(−3.45)
(−1.39)
−0.43
−0.25
−0.25
−0.44
−0.48
−0.57
−0.43
(−14.81)
(−8.08)
(−9.33)
(−10.34)
(−11.45)
(−15.68)
(−14.51)
−0.32
−0.19
−0.52
−0.42
−0.38
−0.52
−0.27
(−10.20)
(−5.65)
(−19.63)
(−8.38)
(−7.76)
(−11.10)
(−8.31)
−0.23
−0.17
−0.24
−0.35
−0.28
−0.40
−0.17
(−7.09)
(−4.87)
(−8.05)
(−6.18)
(−5.19)
(−8.33)
(−4.97)
−0.16
−0.13
−0.30
−0.37
−0.33
−0.35
−0.05
(−5.09)
(−3.61)
(−10.93)
(−6.15)
(−6.02)
(−6.90)
(−1.39)
−0.06
−0.11
−0.23
−0.32
−0.25
−0.26
−0.04
(−2.26)
(−2.96)
(−8.71)
(−5.04)
(−4.35)
(−5.01)
(−1.16)
—
—
−0.23
−0.23
−0.20
−0.21
−0.04
—
—
(−8.97)
(−3.47)
(−3.43)
(−4.12)
(−1.06)
—
—
—
−0.18
−0.15
−0.21
−0.17
—
—
—
(−2.79)
(−2.58)
(−4.46)
(−5.05)
—
—
—
−0.21
−0.29
—
−0.12
—
—
—
(−3.25)
(−5.31)
—
(−3.49)
—
—
—
—
−0.15
—
−0.14
—
—
—
—
(−3.08)
—
(−4.98)
0.68
0.39
0.11
0.73
0.75
0.78
0.88
(28.59)
(11.65)
(17.84)
(14.64)
(16.80)
(20.19)
(26.89)
0.31
0.22
0.23
0.51
0.52
0.66
0.35
(9.59)
(5.86)
(3.43)
(8.54)
(9.51)
(13.57)
(8.41)
0.28
0.11
0.57
0.39
0.32
0.49
0.22
(8.62)
(2.95)
(8.28)
(5.99)
(5.35)
(8.97)
(5.06)
0.21
0.17
0.17
0.37
0.30
0.39
0.14
(6.35)
(4.44)
(2.49)
(5.28)
(4.73)
(6.75)
(3.31)
0.12
0.09
0.35
0.33
0.31
0.28
0.03
(3.84)
(2.21)
(5.12)
(4.47)
(4.74)
(4.69)
(0.71)
—
—
0.16
0.21
0.24
0.22
0.07
—
—
(2.31)
(2.74)
(3.66)
(3.68)
(1.64)
—
—
—
0.15
0.16
0.21
0.10
—
—
—
(1.97)
(2.28)
(3.17)
(2.36)
—
—
—
0.28
0.23
—
0.13
—
—
—
(3.72)
(3.74)
—
(3.01)
—
—
—
—
0.23
—
0.12
—
—
—
—
(3.89)
—
(2.89)
0.33
0.09
0.33
0.19
0.22
0.23
0.35
77.43
14.17
55.63
14.55
17.26
29.96
41.20
32.07
25.29
29.06
54.07
51.16
11.91
51.25
(0.13)
(0.39)
(0.41)
(0.54)
(0.11)
(0.16)
(0.11)
Note. Figures in parenthesis refer to respective t-stat for the coefficients.,, and represent statistical significance at 1%, 5%, and 10%, respectively. Statistical significance of coefficients is considered at 5% level of significance. F-statistics is significant at 1% level for all the commodities. value shows the chi-square value of Breusch–Godfrey LM test for serial autocorrelation.
