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

Author

Listed:
  • Guntur Anjana Raju

    (Programme Director, Doctor of Philosophy (Commerce), Goa Business School, Goa University, Goa, India,)

  • Sanjeeta Shirodkar

    (Goa Business School, Goa University, Goa, 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-min Price Returns for the period ranging from April 1, 2017 to March 31, 2019. The study explores pricediscovery 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.

Suggested Citation

  • Guntur Anjana Raju & Sanjeeta Shirodkar, 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, Econjournals, vol. 10(5), pages 409-414.
    • Handle: RePEc:eco:journ2:2020-05-47
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    References listed on IDEAS

    as
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    Cited by:

    1. Fei Ren & Mei-Ling Cai & Sai-Ping Li & Xiong Xiong & Zhang-HangJian Chen, 2023. "A Multi-market Comparison of the Intraday Lead–Lag Relations Among Stock Index-Based Spot, Futures and Options," Computational Economics, Springer;Society for Computational Economics, vol. 62(1), pages 1-28, June.
    2. Ghosh, Indranil & Chaudhuri, Tamal Datta & Alfaro-Cortés, Esteban & Gámez, Matías & García, Noelia, 2022. "A hybrid approach to forecasting futures prices with simultaneous consideration of optimality in ensemble feature selection and advanced artificial intelligence," Technological Forecasting and Social Change, Elsevier, vol. 181(C).
    3. Congxiao Chen & Wenya Chen & Li Shang & Haiqiao Wang & Decai Tang & David D. Lansana, 2024. "Price discovery and volatility spillovers in the interest rate derivatives market," Palgrave Communications, Palgrave Macmillan, vol. 11(1), pages 1-14, December.

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    More about this item

    Keywords

    Energy Sector; Single Stock Futures; Price-Discovery; Information share; VECM; Cointegration;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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