Dynamic Relationship Between Futures Trading and Spot Price Volatility

Download or read book Dynamic Relationship Between Futures Trading and Spot Price Volatility written by Rahuldeb Das and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this study, an attempt has been made to identify the relationship between the spot price and the level of futures trading in the Indian commodity market using Granger causality test. For a better explanation of causality, the procedure of forecast error variance decomposition has been used. The study indicates that for most of the commodities there is a causal relationship between unexpected futures trading volume and spot price volatility. Furthermore, there is a weak form of causality between spot price volatility and unexpected futures open interest.