Testing the Nature of Long and Short Run Relationships between Spot and Future Commodity Prices in India.

The key focus of this paper is to examine the nature of long and short run relationships between spot and future prices of individual commodity indices using Engle and Granger, Johannsen's Cointegration techniques and ECM. The causality in commodities markets can be used to either hedge or speculate price movements. The cointegration results obtained in this paper may be useful to market participants to build up their strategies in the long term or short term in the commodity futures market to wield the future risk. [ABSTRACT FROM AUTHOR]