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An evidence of speculation in Indian commodity markets

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  • Vijay Kumar Varadi

Abstract

Recent price surge in commodity markets has stipulated the intensity of various factors which lead the price volatility. There are multiple-factors namely, traditional supply and demand, excess global liquidity (i.e., monetary inflows in commodity markets), and financialization i.e., financial investors (portfolio investment and speculation) attitude. This paper is an attempt to investigate for the evidence and impact of speculation on volatility of commodity prices in Indian commodity markets. And, results exhibit that speculation has played decisive role in the commodity price bubble during the global crisis in India. --

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Paper provided by ZBW - German National Library of Economics in its series EconStor Preprints with number 57430.

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Date of creation: 23 Apr 2012
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Handle: RePEc:zbw:esprep:57430

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Keywords: Commodity Markets; Speculation; Price Volatility; Financialization; Investor’s behaviour;

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  1. Irwin, Scott H. & Sanders, Dwight R. & Merrin, Robert P., 2009. "Devil or Angel? The Role of Speculation in the Recent Commodity Price Boom (and Bust)," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 41(02), August.
  2. Du, Xiaodong & Yu, Cindy L. & Hayes, Dermot J., 2011. "Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis," Energy Economics, Elsevier, vol. 33(3), pages 497-503, May.
  3. Baffes, John & Haniotis, Tassos, 2010. "Placing the 2006/08 commodity price boom into perspective," Policy Research Working Paper Series 5371, The World Bank.
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  10. L. Randall Wray, 2008. "The Commodities Market Bubble: Money Manager Capitalism and the Financialization of Commodities," Economics Public Policy Brief Archive ppb_96, Levy Economics Institute.
  11. Scott H. Irwin & Dwight R. Sanders, 2010. "The Impact of Index and Swap Funds on Commodity Futures Markets: Preliminary Results," OECD Food, Agriculture and Fisheries Papers 27, OECD Publishing.
  12. Paul Davidson, 2008. "Crude Oil Prices: >i>"Market Fundamentals" or Speculation?>/i>," Challenge, M.E. Sharpe, Inc., vol. 51(4), pages 110-118, July.
  13. Christopher A. Sims, 1986. "Are forecasting models usable for policy analysis?," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Win, pages 2-16.
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  15. Robles, Miguel & Torero, Maximo & von Braun, Joachim, 2009. "When speculation matters:," Issue briefs 57, International Food Policy Research Institute (IFPRI).
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  17. Working, Holbrook, 1960. "Speculation on Hedging Markets," Food Research Institute Studies, Stanford University, Food Research Institute, issue 02, May.
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