An empirical analysis of efficiency in the Indian gold futures market

摘要

The paper studies the efficiency and price discovery in the Indian gold futures market. The relationship of domestic and international spot prices with the gold futures prices is examined to determine the direction of information flow between these markets. Market microstructure and impact of various policy changes on India's gold market is analysed. A long run cointegration relationship exists between the futures and domestic spot market. We find that the daily price discovery takes place in the futures market but not the spot market. The futures do not serve as an efficient hedge for the domestic spot price.