The Lead Lag relationship between spot and futures markets in the energy sector: Empirical evidence from Indian markets

dc.contributor.author	AnjanaRaju, G.
dc.contributor.author	Shirodkar, S.
dc.date.accessioned	2020-09-15T04:31:18Z
dc.date.available	2020-09-15T04:31:18Z
dc.date.issued	2020
dc.identifier.citation	International Journal of Energy Economics and Policy. 10(5); 2020; 409-414.	en_US
dc.identifier.uri	https://doi.org/10.32479/ijeep.9783
dc.identifier.uri	http://irgu.unigoa.ac.in/drs/handle/unigoa/6205
dc.description.abstract	The study aims at finding the intraday Lead-Lag relationship between Spot and Futures Market for Energy Sectors Stocks on which Single Stock Futures (SSFs) is available, by applying 1-min Price Returns for the period ranging from April 1, 2017 to March 31, 2019. The study explores price-discovery between stock futures and their underlying stocks by applying vector error correction model, Hasbrouck (1995) Information Shares, and Common Factor Component Weights of Gonzalo and Granger (1995). The findings indicate that trades in the Futures Market contribute more to Price-Discovery than Spot Market.	en_US
dc.publisher	EconJournals	en_US
dc.subject	Commerce	en_US
dc.title	The Lead Lag relationship between spot and futures markets in the energy sector: Empirical evidence from Indian markets	en_US
dc.type	Journal article	en_US
dc.identifier.impf	cs