Price Discovery In Indian Gold Futures: A Post-Covid Econometric Analysis

Author(s)	Prof. Bimal Jaiswal, Mr. Aman Patel
Country	India
Abstract	This study investigates the price discovery function of gold futures in India, focusing on the post-COVID period. Using daily closing prices from the Multi Commodity Exchange (MCX) between January 2022 and December 2024, it examines the dynamic relationship between futures and spot markets. Econometric methods employed include the ADF test, Johansen Cointegration, Granger Causality, and VECM. Results reveal a long-term equilibrium and unidirectional causality from futures to spot prices. The VECM confirms spot price adjustments to disequilibrium, emphasizing the futures market’s informational efficiency. These findings hold implications for investors, traders, and policymakers aiming to enhance market transparency and risk management.
Keywords	Gold Futures, Price Discovery, Cointegration, Granger Causality, VECM
Field	Sociology > Banking / Finance
Published In	Volume 7, Issue 5, September-October 2025
Published On	2025-10-29
DOI	https://doi.org/10.36948/ijfmr.2025.v07i05.58711

About IJFMR Fees & Payment Current Issue Publication Archive	Submit Research Paper Track Submission Status Publication Guidelines Publication Ethics Peer Review & Plagiarism	Join as a Reviewer Editors & Reviewers Reviewer Referral Program Get Reviewer Membership Certi.	Website/Journal Policies Usage Policy Content Policies Privacy Policy

Contact Us		+91-9687-828-838	editor@ijfmr.com

International Journal For Multidisciplinary Research