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Price Discovery in the Energy Future Market in India Dr. Das Koushik* *Assistant Professor, Shyampur Siddheswari Mahavidyalaya, India Online published on 2 July, 2018. Abstract The paper attempts to find out long run relationship between Spot price and Future price in the Indian commodity future market with an application to two important energy products, Crude oil and Natural gas. We have applied Time series Econometrics by exercising Stationarity test, Johanson co integration test and Granger causality test for our study of long run relationship between spot and future prices. Econometric exercises show that there is long run lead lag relationship and two way Granger causality in between log value of spot and future prices both for crude oil and natural gas. There is also long run co integrating relationship between the variables for both the energy products. Estimation of our error correction model indicates for both the energy products, speed of adjustment coefficient is significant. There is bi directional error correction for the series of log value of spot and future prices for both the energy products. Top | |
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