Price Discovery and Spillover Effect USDINR Spot Exchange Rate and USDINR Futures MCX

The research work presented is an endeavor establish relationship between spot rate data of USDINR & Currency Future rate USDINR data of MCX. The daily closing data has been collected from RBI website and MCX website to conduct the research work presented. The data has been checked for Descriptive Statistics, ADF stationarity test, VAR/VECM for long and short term relationship check, GARCH 1,1,, ARIMA 1,1, and T-GARCH and E-GARCH to check the effect of good news and bad news flowing in the market. . The data sample collected from 29th October 2010 to 31st Aug, 2021.Findings shows long-term relationship in two time-series data, no short-term relationship between the both time series data sets, series were found volatile and not stationarity have been seen at level but at 1st difference series were found stationary. Both time series data sets are asymmetric to good news and bad news flowing in the market. Also, both the time series sets of data are significantly positive towards positive news flowing in the market