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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Bibliografski detalji
Glavni autori: Bhabani Sankar Rout, Nupur Moni Das, K.Chandrasekhara Rao
Format: Članak
Jezik:English
Izdano: Elsevier 2021-06-01
Serija:IIMB Management Review
Teme:
Price discovery
Parametric VaR
Downside potential
Volatility spillover
Informational bias
Hedge ratio
Online pristup:http://www.sciencedirect.com/science/article/pii/S097038962100029X

Internet

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

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