TY - JOUR AU - Raju, Guntur Anjana AU - Shirodkar, Sanjeeta PY - 2020/08/10 Y2 - 2024/03/28 TI - The Lead Lag Relationship between Spot and Futures Markets in the Energy Sector: Empirical Evidence from Indian Markets JF - International Journal of Energy Economics and Policy JA - IJEEP VL - 10 IS - 5 SE - Articles DO - UR - https://www.econjournals.com/index.php/ijeep/article/view/9783 SP - 409-414 AB - <p>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 1<sup>st </sup>April 2017 to 31<sup>st</sup> 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.</p><p><strong>Keywords: </strong>Energy Sector, Single Stock Futures; Price-Discovery; Information share; VECM; Cointegration</p><p><strong>JEL Classifications:</strong> G11, G14</p><p>DOI: <a href="https://doi.org/10.32479/ijeep.9783">https://doi.org/10.32479/ijeep.9783</a></p> ER -