Price Discovery and Asymmetric Volatility Spillovers in Indian Spot-Futures Gold Markets

This study attempts to examine the price discovery process and volatility spillovers in Goldfutures and spot markets of National Commodity Derivatives Exchange (NCDEX) by employingJohansen’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 andserves as effective price discovery vehicle. Besides the study results show that the spillovers ofcertain information take place from spot market to futures market and the spot market of goldhave the capability to expose the all new information through the channel of its new innovation.