Title:Gold Future Market Efficiency Post 2007 Financial CrisisYear: 2016 |
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Authors:
Dr. Shailesh Rastogi
AbstractGold has been an integral part of the avenues for personal investments in India. Gold futures make the gold market complete. But market of gold is efficient or not is a different thing. Cointegration between spot and future market is necessary condition for market being efficient. An efficient market increases the confidence of people in the asset and in the overall financial system. Johansen's Cointegration method has been applied in this study to find out cointegration between spot and future prices of gold on different time series generated at different time-slots during the period of gold future contracts. Both the spot and future markets have been found to be market efficient during the period of study. |
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