Indian agricultural commodity futures markets a performance survey

Scientific Research An Academic Publisher. International Linkages of the Indian Commodity Futures Markets.

Brajesh Kumar , Ajay Pandey KEYWORDS: International Linkages , Commodity Futures Markets , Return Spillover , Volatility Spillover , Variance Decomposition Techniques , BEKK.

Modern Economy , Vol. This paper investigates the cross market linkages of Indian commodity futures for nine commodities with futures markets outside India.

Future Trading in India and Commodity Price Risk Management: A Pragmatic Study | Reddy | SDMIMD Journal of Management

These commodities range from highly tradable commodities to less tradable agricultural commodities. We analyze the cross market linkages in terms of return and volatility spillovers. The nine commodities consist of two agricultural commodities: Soybean, and Corn, three metals: Aluminum, Copper and Zinc, two precious metals: Gold and Silver, and two energy commodities: Crude oil and Natural gas.

Indian Agricultural Commodity Futures Markets: A Performance Survey on JSTOR

We apply Bivariate GARCH model BEKK to investtigate volatility spillover between India and other World markets. We find that futures prices of agricultural commodities traded at National Commodity Derivatives Exchange, India NCDEX and Chicago Board of Trade CBOT , prices of precious metals traded at Multi Commodity Exchange, India MCX and NYMEX, prices of industrial metals traded at MCX and the London Metal Exchange LME and prices of energy commodities traded at MCX and NYMEX are cointegrated.

In case of commodities, it is found that world markets have bigger unidirectional impact on Indian markets.

indian agricultural commodity futures markets a performance survey

In bivariate model, we found bi-directional return spillover between MCX and LME markets. However, effect of LME on MCX is stronger than the effect of MCX on LME. Results of return and volatility spillovers indicate that the Indian commodity futures markets function as a satellite market and assimilate information from the world market.

An overview of national commodity exchanges in India

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International Linkages of the Indian Commodity Futures Markets AUTHORS: International Linkages , Commodity Futures Markets , Return Spillover , Volatility Spillover , Variance Decomposition Techniques , BEKK JOURNAL NAME:

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