IDEAS home Printed from https://ideas.repec.org/p/pra/mprapa/72966.html
   My bibliography  Save this paper

Impact of Global Financial Crisis and Implied Volatility in the Equity Market on Gold Futures Traded on Multi Commodity Exchange, India

Author

Listed:
  • Sinha, Pankaj
  • Mathur, Kritika

Abstract

Gold is one of the most highly traded commodities in the Indian Commodity Market. It can be traded either in the spot market or the futures market, options contracts are not permitted in the Indian commodity market. In this study, the price behaviour of Gold futures traded on Multi Commodity Exchange are analysed from the year 2007 to year 2013. The issue of the introduction of option contracts on Gold in the Indian commodity market has been addressed through: (a) Presence of short term persistence in return volatility (b) Impact of recent Global Financial Crisis on daily return volatility (c) Impact of implied volatility of equity market on return and weekly return volatility. The study indicates the presence of short term persistence in return volatility of gold as well as the influence of the recent Global financial crisis on return volatility of the metal. It is also observed that that the implied volatility of equity market affects the weekly returns as well as weekly return volatility of a futures contract of Gold.

Suggested Citation

  • Sinha, Pankaj & Mathur, Kritika, 2016. "Impact of Global Financial Crisis and Implied Volatility in the Equity Market on Gold Futures Traded on Multi Commodity Exchange, India," MPRA Paper 72966, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:72966
    as

    Download full text from publisher

    File URL: https://mpra.ub.uni-muenchen.de/72966/1/MPRA_paper_72966.pdf
    File Function: original version
    Download Restriction: no

    References listed on IDEAS

    as
    1. Pravakar Sahoo & Rajiv Kumar, 2008. "Impact of Proposed Commodity Transaction Tax," Working Papers id:1593, eSocialSciences.
    2. P. Srinivasan & P. Ibrahim, 2012. "Price Discovery and Asymmetric Volatility Spillovers in Indian Spot-Futures Gold Markets," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Eastern Macedonia and Thrace Institute of Technology (EMATTECH), Kavala, Greece, vol. 5(3), pages 65-80, December.
    3. Akgiray, Vedat, et al, 1991. "Conditional Dependence in Precious Metal Prices," The Financial Review, Eastern Finance Association, vol. 26(3), pages 367-386, August.
    4. Arouri, Mohamed El Hedi & Hammoudeh, Shawkat & Lahiani, Amine & Nguyen, Duc Khuong, 2012. "Long memory and structural breaks in modeling the return and volatility dynamics of precious metals," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(2), pages 207-218.
    5. Pantisa Pavabutr & Piyamas Chaihetphon, 2010. "Price discovery in the Indian gold futures market," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 34(4), pages 455-467, October.
    6. Hammoudeh, Shawkat & Yuan, Yuan, 2008. "Metal volatility in presence of oil and interest rate shocks," Energy Economics, Elsevier, vol. 30(2), pages 606-620, March.
    7. Ahmed A. A. Khalifa & Hong Miao & Sanjay Ramchander, 2011. "Return distributions and volatility forecasting in metal futures markets: Evidence from gold, silver, and copper," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 31(1), pages 55-80, January.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Crisis; Futures; Gold; VIX; Options;

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • L61 - Industrial Organization - - Industry Studies: Manufacturing - - - Metals and Metal Products; Cement; Glass; Ceramics
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:72966. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Joachim Winter). General contact details of provider: http://edirc.repec.org/data/vfmunde.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.