Competence and efficacy of commodity futures market: Dissection of price discovery, volatility, and hedging

Competence and efficacy of commodity futures market: Dissection of price discovery, volatility, and hedging

The paper is an attempt to assess the Indian agricultural commodity futures market in terms of price discovery, hedging efficiency, and volatility. Cointegration test, Granger causality test, and vector error correction (VEC) model, ordinary least squares (OLS) regression, exponential generalised au...

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Bibliographic Details
Main Authors: Bhabani Sankar Rout, Nupur Moni Das, K.Chandrasekhara Rao
Format: Article
Language:English
Published: Elsevier 2021-06-01
Series:IIMB Management Review
Subjects:
Price discovery
Parametric VaR
Downside potential
Volatility spillover
Informational bias
Hedge ratio
Online Access:http://www.sciencedirect.com/science/article/pii/S097038962100029X

Internet

http://www.sciencedirect.com/science/article/pii/S097038962100029X

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