The Lead Lag Relationship between Spot and Futures Markets in the Energy Sector: Empirical Evidence from Indian Markets

Authors

  • Guntur Anjana Raju Professor and Programme Director for Doctor of Philosophy (Commerce), Goa Business School, Goa University, Goa, 403206, India
  • Sanjeeta Shirodkar Junior Research Fellow, Goa Business School, Goa University, Goa, 403206, India

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-Minute Price Returns for the period ranging from 1st April 2017 to 31st March 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.

Keywords: Energy Sector, Single Stock Futures; Price-Discovery; Information share; VECM; Cointegration

JEL Classifications: G11, G14

DOI: https://doi.org/10.32479/ijeep.9783

Downloads

Download data is not yet available.

Author Biographies

Guntur Anjana Raju, Professor and Programme Director for Doctor of Philosophy (Commerce), Goa Business School, Goa University, Goa, 403206, India

Prof Guntur Anjana Raju Ph.D. (Finance) Professor at Department of Commerce, and Programme Director of Ph.D. (Commerce), Goa Business School, Goa University, Goa, India. She has guided research in areas of Mergers and Acquisitions, Corporate Governance, Emerging Markets, Capital Markets, Commodities Market, and Derivatives Market.  Her Publication works have addressed the most pressing issues of Indian Financial and Capital Markets in Scopus index Journals.

Sanjeeta Shirodkar, Junior Research Fellow, Goa Business School, Goa University, Goa, 403206, India

Ms. Sanjeeta Shirodkar is a Junior Research Fellow at Goa Business School pursuing research in the area of Financial Derivatives Market. She has done her Post-graduation in Finance and has also qualified UGC-NET and MH-SET exams. She is having a teaching experience of 4 years at the College level. She has published research articles in the area of Derivatives Market, Financial Market Integration, and Foreign Exchange.

Downloads

Published

2020-08-10

How to Cite

Raju, G. A., & Shirodkar, S. (2020). The Lead Lag Relationship between Spot and Futures Markets in the Energy Sector: Empirical Evidence from Indian Markets. International Journal of Energy Economics and Policy, 10(5), 409–414. Retrieved from https://www.econjournals.com/index.php/ijeep/article/view/9783

Issue

Section

Articles