The article is an attempt to evaluate the price discovery functions and hedging effectiveness of the aluminum futures market in India. The article identifies the influential direction of price discovery and hedging effectiveness of the aluminum futures market of India. It has especially focused on the aluminum futures market of India for a period ranging from 2013 to 2020. Augmented Dicky-fuller test, PP test, Cointegration test, exogeneity Wald test, Wald co-efficient test, Granger causality test, variance decomposition and minimum variance hedge ratio are employed to achieve the objective of the study. The study finds a bi-directional causality effect between aluminum’s cash and the futures market. Therefore, the Spot and futures markets of aluminum influence each other in the price discovery. The findings of variance decomposition suggest that the futures market of aluminum implies weak exogenoity on spot. Similarly, futures prices reflect strong endogeneity. The hedge ratio of sub-sample and full sample period indicates that there is a lack of hedging effectiveness of aluminum futures. The study will help the hedgers to decide the number of futures positions they need to take to manage their spot exposure. It will help the futures market regulators to examine the stability of the market and other participants to design hedging and arbitrage strategies.

The study examines the mixture of distribution hypothesis (MDH) and the sequential information arrival hypotheses (SIH) in the base metal futures market of India. We use near-month futures daily trading data of price, volume and open interest for 7 years. It is downloaded from the official website of Multi Commodity Exchange (MCX), India. The study supports the MDH as it confirms the existence of a contemporaneous correlation between the return and change in volume of all base metal futures traded at MCX, India. The article exhibits no causality between the return and volume change of metal futures which supports the MDH and contradicts the SIH. This indicates a greater level of market efficiency. The study finds unidirectional causality between the return and daily change of open interest and bidirectional causality between the change in volume and change in open interest. This is found for all base metal futures and this aspect is left for in-depth analysis by the futures studies.

The paper is an attempt to identify the dynamic relationship between the spot and futures of nickel traded at MCX, India. The study is based on secondary data for a period ranging from 2013 to 2020. Augmented Dickyfuller test and Phillip Perron test, Cointegration test, Granger causality test and variance decomposition are the empirical methods used in the study. The study confirms the existence of a long run relationship between the markets. In long run, the unidirectional causal effect is found between the cash and futures market of nickel whereas in the short run bidirectional causality is observed. In the long run futures market of nickel influences, the price discovery of the cash market whereas in the short run both markets influence each other for price discovery. The futures market of nickel traded at MCX, India reflects weak exogeneity in its cash market whereas the cash market of nickel reflects exogeneity in its futures market.