Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/114575 
Year of Publication: 
2012
Citation: 
[Journal:] International Journal of Economic Sciences and Applied Research [ISSN:] 1791-3373 [Volume:] 5 [Issue:] 3 [Publisher:] Eastern Macedonia and Thrace Institute of Technology [Place:] Kavala [Year:] 2012 [Pages:] 65-80
Publisher: 
Eastern Macedonia and Thrace Institute of Technology, Kavala
Abstract: 
This study attempts to examine the price discovery process and volatility spillovers in Gold futures and spot markets of National Commodity Derivatives Exchange (NCDEX) by employing Johansen’s Vector Error Correction Model (VECM) and the Bivariate ECM-EGARCH(1,1) model. The empirical result confirms that the spot market of Gold plays a dominant role and serves as effective price discovery vehicle. Besides the study results show that the spillovers of certain information take place from spot market to futures market and the spot market of gold have the capability to expose the all new information through the channel of its new innovation.
Subjects: 
Price Discovery
Asymmetric Volatility Spillover
Cointegration
VECM
EGARCH Model
JEL: 
G13
G14
C51
Document Type: 
Article

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