A multivariate multiscale entropy approach to testing commodity market efficiency Ranajit Chakraborty and Rahuldeb Das
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TextPublication details: Hydrabad I UP Publication June 2015Description: 7-28 pSubject(s):
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MURTHY, E N FINANCIAL RISK MANAGEMENT
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Main Library | Vol XII No. 3/ 5554833JA1 (Browse shelf(Opens below)) | Available | 5554833JA1 | |||||
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Main Library On Display | JOURNAL/FIN/Vol 12, No 3/5554833 (Browse shelf(Opens below)) | Vol 12, No 3 (01/10/2015) | Not for loan | September, 2015 | 5554833 |
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| Vol VII+VIII+IX/ / BV-60 The IUP Journal of Organizational Behavior Vol (VII+VIII+IX) | Vol X/ BV-114 The IUP Journal of Management Research Vol X | Vol XII No. 2/ JA3 Capital asset pricing model and industry effect: evidence from indian market | Vol XII No. 3/ 5554833JA1 A multivariate multiscale entropy approach to testing commodity market efficiency | Vol Xii No. 4/ 5555292JA2 the volume-returns relationship in the Indian stock market | Vol XII No. 4/ 5555292JA3 The efficient market hypothesis: | Vol XIII No. 1/ 5555607JA1 An information processing view of competition analysis. |
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.
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