Abstract
The purpose of this paper is to study in Indian context (during the recent US financial crisis period), whether there is significant impact of Crude Oil future trading on crude spot prices or there is no such impact. We examine the effect of futures trading volume of crude oil to crude oil spot prices in the Multi Commodity Exchange of India (MCX) from January 2007 until Dec 2009. The vector autoregressive model (VAR), Granger Causality Wald test, Variance Decomposition and Impulse Response Function are applied to the data collected. The results exhibited that bidirectional causality runs from crude spot prices to futures trading volume.
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