An Empirical Analysis of Market Efficiency and Price Discovery in Indian Commodity Market (Record no. 50983)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 02581nam a22002177a 4500 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | OSt |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20190123182147.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 190123b ||||| |||| 00| 0 eng d |
| 100 ## - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Gupta, Shashi |
| 9 (RLIN) | 32970 |
| 245 ## - TITLE STATEMENT | |
| Title | An Empirical Analysis of Market Efficiency and Price Discovery in Indian Commodity Market |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | 771–789 p. |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc | The present article is an attempt to empirically investigate the long-term market efficiency and price discovery in Indian commodity futures market. The study has been conducted with eight commodities which include two agricultural commodities, two industrial commodities, two precious metal and two energy commodities. Sophisticated statistical methods like restricted cointegration and vector error correction model (VECM) are used to analyse the spot and futures prices time series. Restricted cointegration test shows that near-month futures prices for all the commodities are cointegrated with the spot prices but futures prices of all the commodities are inefficient to predict the future spot price. Indian commodity futures market evidenced as the thinly traded market (Kumar & Pandey, 2013, Journal of Indian Business Research, 5(2), 101–121) rejects the null hypothesis of efficiency and unbiasedness for all the eight commodities which reconfirms the result of Fortenbery and Zapata (1997, Journal of Futures Markets, 17(3), 279–301). The presence of short-term biases in the Indian futures market is evidenced in the results of VECM model which indicates the presence of informational efficiency. The statistically significant value of past prices of spot and futures confirm the short-term inefficiency and biasedness. The significant value of error correction term (ECT) of futures prices suggests that commodity futures are the most important indicator of commodity price movements. The important implication of the results is for market traders. They can use the futures prices to discover the new equilibrium and earn profits by transmitting it to the spot market. The better understanding of the interconnectedness of these market would be useful for policymakers who try to establish stability in the financial markets. |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | Indian commodity futures market |
| Uncontrolled term | long-term market efficiency, |
| Uncontrolled term | restricted cointegration, |
| Uncontrolled term | VECM |
| 700 ## - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Choudhary, Himanshu |
| 9 (RLIN) | 32971 |
| Personal name | Agarwal, D. R. |
| 9 (RLIN) | 32972 |
| 773 0# - HOST ITEM ENTRY | |
| Host Biblionumber | 29349 |
| Host Itemnumber | 70966 |
| Main entry heading | BANIK, ARINDAM |
| Place, publisher, and date of publication | NEW DELHI SAGE PUBLISHING PVT. LTD. |
| Other item identifier | 5558944 |
| Title | GLOBAL BUSINESS REVIEW |
| International Standard Serial Number | 0972-1509 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Source of classification or shelving scheme | Dewey Decimal Classification |
| Koha item type | Journal Article |
| Withdrawn status | Lost status | Source of classification or shelving scheme | Damaged status | Not for loan | Home library | Current library | Date acquired | Total Checkouts | Full call number | Barcode | Date last seen | Price effective from |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Dewey Decimal Classification | Main Library | Main Library | 23/01/2019 | Vol 19, No 3/ 5558944JA16 | 5558944JA16 | 23/01/2019 | 23/01/2019 |