Research Article Intraday Price Discovery between Spot and Futures Markets of NIFTY 50: An Empirical Study during the Times of COVID-19 Mohammed Arshad Khan , 1 Md. Mobashshir Hussain , 2 Asif Pervez, 3 Mohd Atif , 2 Rohit Bansal, 4 and Hamad A. Alhumoudi 1 1 Department of Accountancy, College of Administration and Financial Science, Saudi Electronic University, Riyadh 11673, Saudi Arabia 2 Department of Commerce and Business Studies, Jamia Millia Islamia, New Delhi, India 3 Centre for Distance and Online Education, Jamia Millia Islamia, New Delhi, India 4 Department of Management Studies, Vaish College of Engineering, Rohtak, India Correspondence should be addressed to Mohammed Arshad Khan; m.akhan@seu.edu.sa Received 24 January 2022; Revised 8 June 2022; Accepted 20 June 2022; Published 4 August 2022 Academic Editor: Miaochao Chen Copyright © 2022 Mohammed Arshad Khan et al. is is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. e current study investigates the intraday dynamics of futures and spot markets in India. By analyzing one-minute data of Nifty 50 and the associated futures index, the study finds that both the markets are cointegrated. e results of the VECM reveal that any disequilibrium between the spot and futures market is restored by the spot market. Granger causality tests reveal that the spot and futures markets have a bidirectional causal relationship. Common factor weights and Hasbrouck’s information share (IS) reveal the greater role of the futures market in price discovery. Gonzalo and Granger’s common factor model indicates that the permanent factor is made up of futures series only. Using the BEK-GARCH model, we found two-way volatility spillovers between the spot and futures markets. e futures market is found to have a greater impact in terms of volatility spillovers also. e findings of our research are relevant to investors, money managers, traders, and policymakers. 1. Introduction One of the major constituents of the derivatives market is the futures market. Futures markets’ two primary roles are price discovery and risk management [1]. ese two reasons have sparked a lot of research on the link between these two markets [2, 3]. A vibrant futures market also helps improve the efficiency of the underlying spot market [4]. e im- portance of the index futures market has been studied ex- tensively in developed countries, with the majority of studies focusing on the United States [5]. Firstly, spot-futures re- lation was investigated in the context of cointegration or associated error correction [6–11]. Secondly, the lead-lag relationship was investigated between the spot index market and index futures market. e index futures market is mostly found to lead the spot index market and plays the leading role in price discovery in most developed countries [8, 9, 12]. Some studies also reported a bidirectional relationship be- tween spot and futures markets [13, 14]. It is noteworthy that even if the link between the spot and futures market is bidirectional, the link from futures to spot markets is stronger [6, 7, 9, 12, 15–20]. While the dominant role of the futures market is re- ported from the developed markets, the evidence from the emerging markets is mixed [21]. Chiang and Fong [22] reported that the Hang Seng index futures dominate the spot index returns. Zhong et al. [23] showed that the stock index futures market of Mexico had a leading role in the price discovery [24]. ey contend that the futures markets have a smaller advantage over the spot markets in other countries than they do in the United States [13, 25, 26]. e evidence regarding the price discovery is very in- teresting in India. While Debasish [27] and Pati and Rajib [28] report the leading role of the futures market, Pradhan Hindawi Journal of Mathematics Volume 2022, Article ID 2164974, 9 pages https://doi.org/10.1155/2022/2164974