Spillover Effects in Indian Banking Industry: Analysing Market Integration Between Spot and Future Price

Author(s)	Mr. Mishra Anurag Raghwendra, Prabhavathi C
Country	India
Abstract	This study examines volatility spillover effects in the Indian banking sector, focusing on the integration between spot and futures markets for four major banks—SBI, PNB, ICICI, and Kotak. Using econometric techniques such as the Augmented Dickey-Fuller (ADF) test, Johansen Cointegration test, Vector Error Correction Model (VECM), and Granger Causality test, the research identifies the lead-lag relationship and risk transmission patterns. Findings indicate that futures prices lead spot prices, with significant bidirectional spillovers during economic shocks. The study provides insights into market efficiency, risk management, and regulatory implications, highlighting the interconnected nature of public and private sector banks
Keywords	Spillover effects, Banking Industry, SBI, ICICI, Kotak, PNB, Spot Price, Future Price
Published In	Volume 7, Issue 2, March-April 2025
Published On	2025-03-20
DOI	https://doi.org/10.36948/ijfmr.2025.v07i02.39427
Short DOI	https://doi.org/g89vtz

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