This study aims to analyse the relationship between the spot and futures prices of the stocks traded at the national stock exchange of India. The daily closing prices from 2011 to 2016 of the spot and futures of the sample stocks are tested for stationarity, cointegration and, vector error correction model is used for inspecting the dynamics of the two prices. The cointegration results show an existence of long run relationship among the futures and spot prices of the sample stocks. The price discovery results vary for the sample companies. Results show that, Coal futures prices are leading spot prices, but Cipla spot prices are leading the futures prices. The results show a presence of one-way causality running from futures to spot prices.

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Keywords: Cointegration, VECM, Stationarity, Market Efficiency, Futures.