The volatility of returns from commodity futures: evidence from India

Mukherjee, Isita; Goswami, Bhaskar

doi:10.1186/s40854-017-0066-9

Cited by 17 publications

(13 citation statements)

References 24 publications

(28 reference statements)

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“…Sehgal et al (2012) also tested the function of price discovery in the agricultural commodity markets in India and observed that price discovery exists in all commodities barring turmeric. This result is supported by Mukherjee and Goswami (2017) but in case of potato. Although a large number of researchers have opined that the futures market discovers spot prices, their results have been countered by other researchers who have found no evidence of the futures market predicting the spot price.…”

Section: Literature Surveysupporting

confidence: 61%

Functional Effectiveness of Commodity Futures Market: A Comparative Assessment of Agricultural and Metal Commodities

2021

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The study focuses on examining the price discovery process, short run disturbances and hedging mechanism of agricultural and metal commodities futures market for the period January 2010 to December 2018. Contango and normal backwardation have also been taken into deliberation for select commodities which are traded in MCX and NCDEX, India which is a valuable addition to the existing body of literature in derivatives market. Johansen’s co-integration, VECM, Granger causality test and OLS are employed for understanding the price discovery and constant hedging for select commodities. Further, existence contango and normal backwardation have been observed by comparing the spot and futures prices. It has been found that spot market is acting as a leader in the longer period and laggard in short run investors can be benefitted to take short run or long run investment decision.

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Section: Literature Surveysupporting

confidence: 61%

Functional Effectiveness of Commodity Futures Market: A Comparative Assessment of Agricultural and Metal Commodities

2021

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“…On the contrary, some other studies suggest that derivatives promote increased activity on spot markets and facilitate the price discovery process (Chakravarty et al , 2004). Thus, the efficiency of derivative markets, particularly commodity futures markets, have become more sophisticated nowadays (Mukherjee and Goswami, 2017).…”

Section: Theory and Backgroundmentioning

confidence: 99%

“…In a comprehensive study to understand the dynamics of the co-integration, price causality and volatility factors, which determine the efficiency of commodity markets, Mukherjee and Goswami (2017) reveal that futures market; lead the spot market in India. In terms of volatility, the GARCH test results convey that there are volatility clustering and persistence throughout the study period.…”

Section: Literaturementioning

confidence: 99%

Measuring volatility spillovers and asymmetric responses of Agri commodity prices: evidence from spices and rubber futures in India

Nair

2021

IGDR

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Purpose This paper aims to investigate price responses and volatility spillovers between commodity spot and futures markets. The study ultimately seeks the evidence-based claims on the efficiency of the long run and short run horizontal price transmissions from futures markets to spot markets. Design/methodology/approach This study used the most recent daily price series of pepper, cardamom and rubber, during the period 2004–2019, use “cointegration-ECM-GARCH framework” and verify the persisting validity of the “expectancy theory” of commodity futures pricing. Findings The results offer overwhelming evidence of futures market dominance in the price discoveries and volatility spillovers in spot markets. However, this paper finds asymmetric responses between cash and futures prices across markets. The hedging efficiency of futures contracts is commodities specific’ where spices futures are more efficient than the rubber futures. Practical implications The study passes on vital information to the producers and traders of spices and rubber who have a potential interest in the use of futures contracts to make profits from arbitrage between futures and cash markets. Originality/value The paper is unique in terms of understanding asymmetric price linkages in markets for plantation crops.

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“…(Manera et al, 2013) the study served the return volatility of selected commodity as financial assets i.e., gold, potato, Mentha oil and crude oil traded under MCX (multi commodity exchange), India covering the period from 2004 to 2012 by using GARCH Model. (Mukherjee and Goswami, 2017) investigated the prediction capability of GARCH, GJR-GARCH, EGARCH and APARCH models together with the different error constructs like Student's t-distribution, normal distribution and asymmetric Student's t-distribution with a comparison between asymmetric and symmetric distributions using these three different error constructs by taking two major indices of Tel-Aviv stock exchange (TASE) i.e., TA25 and TA100. The results suggest that overall estimation can be improved by employing the asymmetric GARCH model with fat-tailed densities for estimating conditional variance (Alberg et al, 2008).…”

Section: Review Of Literaturementioning

confidence: 99%

“…The residual terms should be conditionally normally distributed and serially uncorrelated." (Mukherjee and Goswami, 2017) One of the major limitations of this ARCH model is it "supposes that the variance or heteroscedastic of tomorrow's return is an equally-weighted average of the residuals' squared from the last 22 days. The assumption of equal weights looks ill-favoured, as one may think that the more recent events would be more significant and therefore should have more weights" (Engle, 2001).…”

Section: Introductionmentioning

confidence: 99%

The Impact of Covid-19 on Price Volatility of Crude Oil and Natural Gas Listed on Multi Commodity Exchange of India

Meher¹,

Hawaldar

Mohapatra³

et al. 2020

IJEEP

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The impact of COVID-19, due to the wide-spread demand and supply destruction and downward movement of crude oil prices is of concern for all those connected with the oil and gas industry. In this study, an attempt has been made to estimate the price volatility of crude oil and natural gas listed on multi commodity exchange of India (MCX). We measured the leverage effect of COVID-19 on price volatility of crude oil and natural gas by using the daily prices of crude oil and natural gas from May 01, 2017 to April 30, 2020. The findings of the study reveal that there is a presence of leverage effect of COVID-19 on the price volatility of crude oil. However, this leverage effect is not present on the price volatility of natural gas. The findings of the study will help investors to develop investment strategies and to the policymakers to formulate appropriate policies to overcome or minimise the impact of COVID-19. The forecasting graphs of crude oil prices indicate that there is a possibility that price volatility will be higher in the future. However, it is difficult to forecast the expected price volatility of natural gas for the future because the price volatility graph is extremely fluctuating.

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The volatility of returns from commodity futures: evidence from India

Abstract: Background: This paper examines the pattern of the volatility of the daily return of select commodity futures in India and explores the extent to which the select commodity futures satisfy the Samuelson hypothesis.

Cited by 17 publications

References 24 publications

Functional Effectiveness of Commodity Futures Market: A Comparative Assessment of Agricultural and Metal Commodities

Functional Effectiveness of Commodity Futures Market: A Comparative Assessment of Agricultural and Metal Commodities

Measuring volatility spillovers and asymmetric responses of Agri commodity prices: evidence from spices and rubber futures in India

The Impact of Covid-19 on Price Volatility of Crude Oil and Natural Gas Listed on Multi Commodity Exchange of India

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