Paper Title
Price Discovery in Precious Metals: Evidence from India

Abstract
This study investigates the price discovery process of the spot and the futures markets for gold and silver commodities in Indian market using three common factor methods. The study examines the daily closing prices spanning for the period from January 2010 to March 2018. The Vector Error Correction Model is estimated after conventional stationarity and cointegration tests. Spot and futures prices of both the commodities are non-stationary and cointegrated. The results indicate that the futures market is the venue of price discovery vis-à-vis spot market in the case of silver. However, in case of gold, we cannot designate the futures market a clean winner in terms of price discovery, as we get contradictory findings from different common factor methods. This study will help market participants to draw a conclusion about price discovery of spot and futures market in developing markets. This is one of the few studies which is using common factor models to analyze price discovery and relative efficiency of derivative contracts of bullions in Indian market. Keywords - Component Share, Information Share, Johansen Cointegration, Market Efficiency, Modified Information Share, Price Discovery, Relative Efficiency, Vector Error Correction Model. JEL Classification - C30, C58, G13, G14