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 |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S0970389621000161 |
| _version_ | 1818923090707480576 |
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| author | Salim Shamsher |
| author_facet | Salim Shamsher |
| author_sort | Salim Shamsher |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-12-20T02:03:55Z |
| format | Article |
| id | doaj.art-963c9037db5f4bbab80f8202bc805bda |
| institution | Directory Open Access Journal |
| issn | 0970-3896 |
| language | English |
| last_indexed | 2024-12-20T02:03:55Z |
| publishDate | 2021-03-01 |
| publisher | Elsevier |
| record_format | Article |
| series | IIMB Management Review |
| spelling | doaj.art-963c9037db5f4bbab80f8202bc805bda2022-12-21T19:57:15ZengElsevierIIMB Management Review0970-38962021-03-013313849Financialisation of commodities – Empirical evidence from the Indian financial marketSalim Shamsher0Narsee Monjee Institute of Management Studies (NMIMS), Deemed-to-be-University, Navi Mumbai, Maharashtra, IndiaFinancialisation 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.http://www.sciencedirect.com/science/article/pii/S0970389621000161FinancialisationCommodity derivativesGARCHCommodity price volatilityCointegration and causality |
| spellingShingle | Salim Shamsher Financialisation of commodities – Empirical evidence from the Indian financial market IIMB Management Review Financialisation Commodity derivatives GARCH Commodity price volatility Cointegration and causality |
| title | Financialisation of commodities – Empirical evidence from the Indian financial market |
| title_full | Financialisation of commodities – Empirical evidence from the Indian financial market |
| title_fullStr | Financialisation of commodities – Empirical evidence from the Indian financial market |
| title_full_unstemmed | Financialisation of commodities – Empirical evidence from the Indian financial market |
| title_short | Financialisation of commodities – Empirical evidence from the Indian financial market |
| title_sort | financialisation of commodities empirical evidence from the indian financial market |
| topic | Financialisation Commodity derivatives GARCH Commodity price volatility Cointegration and causality |
| url | http://www.sciencedirect.com/science/article/pii/S0970389621000161 |
| work_keys_str_mv | AT salimshamsher financialisationofcommoditiesempiricalevidencefromtheindianfinancialmarket |