Market efficiency of commodity futures in India
AbstractThis paper aims to examine the market efficiency of the commodity futures market in India, which has been growing phenomenally for the last few years. We estimate the long-run equilibrium relationship between the multi-commodity futures and spot prices and then test for market efficiency in a weak form sense by applying both the DOLS and the FMOLS methods. The entire sample period is from 2 January 2006 to 31 March 2011. The results indicate that a cointegrating relationship is found between these indices and that the commodity futures market seems to be efficient only during the more recent sub-sample period since July 2009.
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Bibliographic InfoPaper provided by Institute of Developing Economies, Japan External Trade Organization(JETRO) in its series IDE Discussion Papers with number 370.
Date of creation: Oct 2012
Date of revision:
Publication status: Published in IDE Discussion Paper. No. 370. 2012.10
Postal: Publication Office, IDE 3-2-2 Wakaba, Mihama-ku, Chiba-shi, Chiba 261-8545 JAPAN
Other versions of this item:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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