International Linkages of Agri-Processed and Energy commodities traded in India
AbstractThe current study focuses on the linkages in agri-processed (soy oil and crude palm oil) and energy commodities (natural gas and crude oil) traded on commodity exchanges of India (NCDEX; MCX) and their corresponding international commodity exchanges(Chicago Board of Trade; Bursa Malaysia Derivative Exchange; New York Mercantile Exchange). This paper examines the linkages in futures price, return and volatility of a commodity across commodity exchanges with the help of three models – (a) Price – Co-integration methodology and Error Correction Mechanism Model (b) Return and Volatility – Modified GARCH model (c) Return and Volatility – ARMA-GARCH in mean model (Innovations Model). The study indicates that there are strong linkages in price, return and volatility of futures contracts traded across commodity exchanges of India and their corresponding international commodity exchanges. Given the level of linkages, the study argues against the imposition of Commodity Transaction Tax (CTT) on sellers at the time of trading in agri-processed and energy commodities. The tax would lead to lower trading volumes thereby defeating the purpose of price discovery via commodity exchanges.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 50214.
Date of creation: 28 Jun 2013
Date of revision: 26 Sep 2013
Futures; Commodity Transaction Tax; GARCH; Crude oil;
Find related papers by JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
- H2 - Public Economics - - Taxation, Subsidies, and Revenue
This paper has been announced in the following NEP Reports:
- NEP-AGR-2013-10-02 (Agricultural Economics)
- NEP-ALL-2013-10-02 (All new papers)
- NEP-SEA-2013-10-02 (South East Asia)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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