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The Price Discovery and Efficiency of Indian Commodity Future Market
Rahul Roy
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The study investigates the performance of Multi-Commodity Exchange Futures market in terms of market efficiency and price discovery with the Johansen & Juselius (1990) co-integration model. Vector Error Correction Model has been used to expose the short-term relationship between spot and future market. The empirical results revealed that with the evidence, to support the long-run equilibrium relationships in Spot-Futures markets and the dominant role of futures in price discovery. To that extent the price formation is efficient i.e., futures markets are perfect hedge against the variations in spot-prices and the price movements in the futures market lead price formation in the spot-market. The results owes that futures market exerts a stronger influence on the spot-market and, therefore, to that extent the futures prices are able to discover prices efficiently. The empirical results thus, leads to a conclusion that the MCX futures market is matured and efficient.
- Format: Pocket/Paperback
- ISBN: 9783659474811
- Språk: Engelska
- Antal sidor: 168
- Utgivningsdatum: 2013-10-23
- Förlag: LAP Lambert Academic Publishing