Financialisation of commodities – Empirical evidence from the Indian financial market
Financialisation of commodities commenced from the year 2009 with massive inflows of institutional investment. There is mixed evidence as to whether this financialisation of commodities has led to increase in price volatility of the commodities. This study attempts to examine the financialisation of...
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| Format: | Article |
| Language: | English |
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Elsevier
2021-03-01
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| Series: | IIMB Management Review |
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| Online Access: | http://www.sciencedirect.com/science/article/pii/S0970389621000161 |
| Summary: | Financialisation of commodities commenced from the year 2009 with massive inflows of institutional investment. There is mixed evidence as to whether this financialisation of commodities has led to increase in price volatility of the commodities. This study attempts to examine the financialisation of the Indian commodities market by examining the interconnectedness between the Indian commodities market and the Indian stock market in terms of return co-movements and also in terms of volatility spillovers. The analysis indicates a unidirectional causality as well as the existence of volatility spillovers from the stock market to the commodities market. |
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| ISSN: | 0970-3896 |