A multivariate multiscale entropy approach to testing commodity market efficiency
Ranajit Chakraborty
A multivariate multiscale entropy approach to testing commodity market efficiency Ranajit Chakraborty and Rahuldeb Das - Hydrabad I UP Publication June 2015 - 7-28 p.
This study examines the efficiency of the Indian commodity market after the onset of futures trading on the national level commodity exchanges. The efficiency of five agricultural and three nonagricultural commodities have been tested by calculating multiscale sample entropy, taking univariate and multivariate series. An efficiency index has been built with this design. The results indicate that the Indian commodity market is partially efficient. The efficiency fluctuation is higher in the case of agricultural commodities. The slowdown in 2008 reduced the market efficiency of the exportoriented commodities. Moreover, seasonality in the market efficiency is observed for a few agricultural commodities.
Commodity Market
A multivariate multiscale entropy approach to testing commodity market efficiency Ranajit Chakraborty and Rahuldeb Das - Hydrabad I UP Publication June 2015 - 7-28 p.
This study examines the efficiency of the Indian commodity market after the onset of futures trading on the national level commodity exchanges. The efficiency of five agricultural and three nonagricultural commodities have been tested by calculating multiscale sample entropy, taking univariate and multivariate series. An efficiency index has been built with this design. The results indicate that the Indian commodity market is partially efficient. The efficiency fluctuation is higher in the case of agricultural commodities. The slowdown in 2008 reduced the market efficiency of the exportoriented commodities. Moreover, seasonality in the market efficiency is observed for a few agricultural commodities.
Commodity Market