The present study is an attempt to examine the price discovery mechanism between the stock one month futures and spot(cash) market index for the NSE Nifty Index. It investigate the lead lag relation between these two set of markets by analyzing daily closing prices data for both NSE Nifty stock index & also NSE Nifty one month futures index for a period Jan 1 , 2016 to March 28 2018 (501 observations). The econometric tools applied include Augmented Dickey Fuller (ADF) test & KPSS test of Stationarity of Variables, Johansen Co-integration test , VAR with Error Correction Mechanism test (after determining the optimal no. of lags) & BG Serial Correlation. The results of the study revealed that the spot and futures prices of NSE Nifty were co-integrated and also had significant error corrective mechanism where the speed of correction was very fast at 93 % per period moving from short run disequilibrium to long run equilibrium. The Granger cause-effect relation was however not observed even in the VAR Model as correction towards equilibrium was arrived at a very short period of time thereby contradicting the viewpoints of researchers that futures lead the spot rates in all major stock markets. The diagnostic tests confirmed that time series of spot and futures market was stationary at 1st difference and also free from serial correlation.