Author(s)

Anto Joseph^1*, Garima Sisodia¹, Aviral Kumar Tiwari²

¹Department of Finance and Accounting, IBS, Hyderabad, India.
²Department of Economics, IBS, Hyderabad, India.

This study examines the inter-temporal causal nexus between Indian commodity futures and spot prices by using wavelet analysis. Wavelet analysis offers an effective alternative tool to examine the inter-temporal causal relationship in time as well as frequency domains, providing a deeper understanding of direction, strength and extent of such causal relationship; whereas traditional econometric causality analysis tools focus only on the time domain. The empirical results of wavelet analysis suggest that the Indian commodity futures market has a powerful price discovery function in all the selected commodities, which in turn indicates the efficiency of the Indian commodity futures market.

Commodity Futures, Price Discovery, Causality, Wavelet Analysis

Joseph, A. , Sisodia, G. and Tiwari, A. (2015) The Inter-Temporal Causal Nexus between Indian Commodity Futures and Spot Prices: A Wavelet Analysis. Theoretical Economics Letters, 5, 312-324. doi: 10.4236/tel.2015.52037.