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...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2021-06-01
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| Series: | IIMB Management Review |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S097038962100029X |
| _version_ | 1818734892463161344 |
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| author | Bhabani Sankar Rout Nupur Moni Das K.Chandrasekhara Rao |
| author_facet | Bhabani Sankar Rout Nupur Moni Das K.Chandrasekhara Rao |
| author_sort | Bhabani Sankar Rout |
| collection | DOAJ |
| description | 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 autoregressive conditional heteroskedasticity (EGARCH) model, value-at- risk (VaR) model are employed to achieve the objectives of the study. It is observed that the spot market leads the futures market. The lead-lag relationship varies from commodity to commodity. Additionally, downside risk exists in both the markets, and volatility is transmitted from the spot market to the futures market. The agricultural commodity futures market is found to lack hedging efficiency. |
| first_indexed | 2024-12-18T00:12:35Z |
| format | Article |
| id | doaj.art-4983a48675a14a468b30fb8eda72474c |
| institution | Directory Open Access Journal |
| issn | 0970-3896 |
| language | English |
| last_indexed | 2024-12-18T00:12:35Z |
| publishDate | 2021-06-01 |
| publisher | Elsevier |
| record_format | Article |
| series | IIMB Management Review |
| spelling | doaj.art-4983a48675a14a468b30fb8eda72474c2022-12-21T21:27:38ZengElsevierIIMB Management Review0970-38962021-06-01332146155Competence and efficacy of commodity futures market: Dissection of price discovery, volatility, and hedgingBhabani Sankar Rout0Nupur Moni Das1K.Chandrasekhara Rao2Faculty of Management Sciences, Siksha 'O' Anusandhan (Deemed to be University), Bhubaneswar, Orissa, IndiaFaculty of Management Studies, Sri Sri University, Cuttack, Odisha, India; Corresponding author.Department of Banking Technology, Pondicherry University, IndiaThe 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 autoregressive conditional heteroskedasticity (EGARCH) model, value-at- risk (VaR) model are employed to achieve the objectives of the study. It is observed that the spot market leads the futures market. The lead-lag relationship varies from commodity to commodity. Additionally, downside risk exists in both the markets, and volatility is transmitted from the spot market to the futures market. The agricultural commodity futures market is found to lack hedging efficiency.http://www.sciencedirect.com/science/article/pii/S097038962100029XPrice discoveryParametric VaRDownside potentialVolatility spilloverInformational biasHedge ratio |
| spellingShingle | Bhabani Sankar Rout Nupur Moni Das K.Chandrasekhara Rao Competence and efficacy of commodity futures market: Dissection of price discovery, volatility, and hedging IIMB Management Review Price discovery Parametric VaR Downside potential Volatility spillover Informational bias Hedge ratio |
| title | Competence and efficacy of commodity futures market: Dissection of price discovery, volatility, and hedging |
| title_full | Competence and efficacy of commodity futures market: Dissection of price discovery, volatility, and hedging |
| title_fullStr | Competence and efficacy of commodity futures market: Dissection of price discovery, volatility, and hedging |
| title_full_unstemmed | Competence and efficacy of commodity futures market: Dissection of price discovery, volatility, and hedging |
| title_short | Competence and efficacy of commodity futures market: Dissection of price discovery, volatility, and hedging |
| title_sort | competence and efficacy of commodity futures market dissection of price discovery volatility and hedging |
| topic | Price discovery Parametric VaR Downside potential Volatility spillover Informational bias Hedge ratio |
| url | http://www.sciencedirect.com/science/article/pii/S097038962100029X |
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