Price Discovery of Agri Commodities: An Integrated Approach
The purpose of this paper is to examine how the introduction of the pan-India electronic trading portal (eNAM) impacted the information transmission and price discovery in informationally linked markets of India for agricultural commodities. We have applied the information share and component share...
| Main Authors: | , |
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| Format: | Article |
| Language: | Russian |
| Published: |
Government of the Russian Federation, Financial University
2022-07-01
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| Series: | Финансы: теория и практика |
| Subjects: | |
| Online Access: | https://financetp.fa.ru/jour/article/view/1677 |
| _version_ | 1797878666726735872 |
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| author | A. Mishra R. P. Kumar |
| author_facet | A. Mishra R. P. Kumar |
| author_sort | A. Mishra |
| collection | DOAJ |
| description | The purpose of this paper is to examine how the introduction of the pan-India electronic trading portal (eNAM) impacted the information transmission and price discovery in informationally linked markets of India for agricultural commodities. We have applied the information share and component share methods using daily data of five agricultural commodities from 2005 to 2019. This paper offers two findings, first; evidence shows that commodity stock prices have more price discovery as compared to the market prices. Whereas market prices also generate a significant price discovery, but its volume is less. Second, market prices adjust more quickly than commodity stock prices to correct the disproportion between both markets. This scenario is more evident post eNAM era. Conclusions from this study can be used to understand the information flow and would be helpful to academicians, practitioners, policymakers, or business players of commodity markets. |
| first_indexed | 2024-04-10T02:36:54Z |
| format | Article |
| id | doaj.art-622a5c99d8454b25afce55c6ebf2209b |
| institution | Directory Open Access Journal |
| issn | 2587-5671 2587-7089 |
| language | Russian |
| last_indexed | 2024-04-10T02:36:54Z |
| publishDate | 2022-07-01 |
| publisher | Government of the Russian Federation, Financial University |
| record_format | Article |
| series | Финансы: теория и практика |
| spelling | doaj.art-622a5c99d8454b25afce55c6ebf2209b2023-03-13T07:49:31ZrusGovernment of the Russian Federation, Financial UniversityФинансы: теория и практика2587-56712587-70892022-07-0126322624010.26794/2587-5671-2022-26-3-226-240944Price Discovery of Agri Commodities: An Integrated ApproachA. Mishra0R. P. Kumar1Национальный институт предпринимательства и управления пищевыми технологиямиНациональный институт предпринимательства и управления пищевыми технологиямиThe purpose of this paper is to examine how the introduction of the pan-India electronic trading portal (eNAM) impacted the information transmission and price discovery in informationally linked markets of India for agricultural commodities. We have applied the information share and component share methods using daily data of five agricultural commodities from 2005 to 2019. This paper offers two findings, first; evidence shows that commodity stock prices have more price discovery as compared to the market prices. Whereas market prices also generate a significant price discovery, but its volume is less. Second, market prices adjust more quickly than commodity stock prices to correct the disproportion between both markets. This scenario is more evident post eNAM era. Conclusions from this study can be used to understand the information flow and would be helpful to academicians, practitioners, policymakers, or business players of commodity markets.https://financetp.fa.ru/jour/article/view/1677определение ценсельскохозяйственные товарыинформационная долядоля компонентов |
| spellingShingle | A. Mishra R. P. Kumar Price Discovery of Agri Commodities: An Integrated Approach Финансы: теория и практика определение цен сельскохозяйственные товары информационная доля доля компонентов |
| title | Price Discovery of Agri Commodities: An Integrated Approach |
| title_full | Price Discovery of Agri Commodities: An Integrated Approach |
| title_fullStr | Price Discovery of Agri Commodities: An Integrated Approach |
| title_full_unstemmed | Price Discovery of Agri Commodities: An Integrated Approach |
| title_short | Price Discovery of Agri Commodities: An Integrated Approach |
| title_sort | price discovery of agri commodities an integrated approach |
| topic | определение цен сельскохозяйственные товары информационная доля доля компонентов |
| url | https://financetp.fa.ru/jour/article/view/1677 |
| work_keys_str_mv | AT amishra pricediscoveryofagricommoditiesanintegratedapproach AT rpkumar pricediscoveryofagricommoditiesanintegratedapproach |