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A Study on Commodity Market Behaviour, Price Discovery and its Factors

Author

Listed:
  • Dash, M.

    (Alliance University, India)

Abstract

Commodity markets have been gaining importance in recent years, giving participants an opportunity to go for forward contracting and hedging. In particular, derivative markets have attained more than eighteen times in trading volume when compared to the spot markets. This paper provides an overview of the commodity market in India and its participants, and analyses twelve commodities that are traded in MCX (Multi Commodity Exchange), in terms of price discovery of the spot and futures markets using GARCH model. It also analyses the impact of trading volume, inflation and other macroeconomic factors on spot and futures price movements.

Suggested Citation

  • Dash, M., 2019. "A Study on Commodity Market Behaviour, Price Discovery and its Factors," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 8(3), pages 125-134, September.
    • Handle: RePEc:ods:journl:v:8:y:2019:i:3:p:125-134
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    References listed on IDEAS

    as
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    3. Mallika Kumar & M. M. Sulphey, 2015. "Investment Option in Gold – A Study on Price Discovery of Gold Futures in India," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 4(4), pages 231-238, November.
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    5. Jagan Gaur & Mihir Dash, 2015. "Macroeconomic Factors and Performance of Indian Stock Market," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 4(1), pages 11-15.
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    commodity markets; price discovery; GARCH model; trading volume; inflation; macroeconomic factors;
    All these keywords.

    JEL classification:

    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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