Volume : 4, Issue : 9, September - 2015

SHORT-RUN PERFORMANCE OF GOLD FUTURES IN INDIAN COMMODITY MARKET

S. Suresh, Sandiya. S

Abstract :

<p>This paper aims to study the short-run performance of spot and futures prices of gold contracts in the Indian commodity market. Time series data for one year starting from April 2014 to March 2015 is used for analysis. The data collected through NCDEX website and 10 grams gold contract prices in spot and future market only considered for this study. Normality test was performed (Descriptive statistics and Jarque &ndash;bera test) to find out the distribution of the data. Correlation is used to study the relationship between risk and return on the spot and future prices. It is found from the analysis that the gold futures price and returns are not normally distributed. Spot market outperformed the futures market in terms of return and risk.</p>