Purpose–The purpose of this paper is to investigate empirically the price discovery and
volatility spillovers in Indian spot-futures commodity markets. Design/methodology/approach–
The study has used four futures and spot indices of Multi-Commodity Exchange, Mumbai.
The study also employs vector error correction model (VECM) and bivariate exponential
Garch model (EGARCH) to analyze the price discovery and volatility spillovers in Indian spot-
futures commodity market. Findings–The VECM shows that agriculture future price index …

Indian commodity futures markets registered 373% growth during 2005-06. Despite this
growth rate, there is skepticism about the effect of commodity futures on its underlying assets
in India. In this context, the present study examines price discovery and volatility spillovers in
Indian spot-futures commodity markets by using cointegration (Johansen, 1991), VECM and
the bivariate EGARCH (Nelson, 1991) model. This study has used four futures and spot
indices of Multi-Commodity Exchange (MCX), Mumbai that employes daily data spanning …