Does Indian commodity futures markets exhibit price discovery? An empirical analysis
Autor(a) principal: | |
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Data de Publicação: | 2022 |
Outros Autores: | , , , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.21/14653 |
Resumo: | Artigo publicado em revista científica internacional |
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Does Indian commodity futures markets exhibit price discovery? An empirical analysisIntertemporal dimensionDynamicsSpot pricesFuture marketsArtigo publicado em revista científica internacionalPrice discovery function analyses the dynamics of futures and spot price behavior in an asset’s intertemporal dimensions. The present study examines the price discovery function of the bullion, metal, and energy commodity futures and spot prices through the Granger causality and Johansen–Juselius cointegration tests. The Granger causality test results show bidirectional causality between the spot and futures returns for gold, silver, aluminum, lead, nickel, and zinc. The Johansen cointegration test shows that spot and futures prices are in the long-run equilibrium path for silver, aluminum, lead, nickel, zinc, crude oil, and natural gas. The vector error correction model results suggest that both the spot and futures markets are equally efficient in price discovery for the nickel. The spot market leads the futures market in price discovery for copper and zinc. However, the futures market leads the spot market in price discovery for silver, aluminum, and lead. ,e findings of the study suggest the market participants for implementing hedging and arbitrage strategies. It also helps the market regulators to examine the stability of these rapidly growing commodity futures markets in India.HindawiRCIPLPani, UpanandaGherghina, Ştefan CristianMata, Mário NunoFerrão, JoaquimMata, Pedro2022-05-23T11:26:55Z2022-03-082022-03-08T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.21/14653engPani, U., Gherghina, Ş. C., Mata, M. N., Ferrão, J. A., & Mata, P. N. (2022). Does Indian Commodity Futures Markets Exhibit Price Discovery? An Empirical Analysis. Discrete Dynamics in Nature and Society. 6431403, 1-14. https://doi.org/10.1155/2022/6431403https://doi.org/10.1155/2022/6431403info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-08-03T10:11:07Zoai:repositorio.ipl.pt:10400.21/14653Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T20:22:25.278353Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Does Indian commodity futures markets exhibit price discovery? An empirical analysis |
title |
Does Indian commodity futures markets exhibit price discovery? An empirical analysis |
spellingShingle |
Does Indian commodity futures markets exhibit price discovery? An empirical analysis Pani, Upananda Intertemporal dimension Dynamics Spot prices Future markets |
title_short |
Does Indian commodity futures markets exhibit price discovery? An empirical analysis |
title_full |
Does Indian commodity futures markets exhibit price discovery? An empirical analysis |
title_fullStr |
Does Indian commodity futures markets exhibit price discovery? An empirical analysis |
title_full_unstemmed |
Does Indian commodity futures markets exhibit price discovery? An empirical analysis |
title_sort |
Does Indian commodity futures markets exhibit price discovery? An empirical analysis |
author |
Pani, Upananda |
author_facet |
Pani, Upananda Gherghina, Ştefan Cristian Mata, Mário Nuno Ferrão, Joaquim Mata, Pedro |
author_role |
author |
author2 |
Gherghina, Ştefan Cristian Mata, Mário Nuno Ferrão, Joaquim Mata, Pedro |
author2_role |
author author author author |
dc.contributor.none.fl_str_mv |
RCIPL |
dc.contributor.author.fl_str_mv |
Pani, Upananda Gherghina, Ştefan Cristian Mata, Mário Nuno Ferrão, Joaquim Mata, Pedro |
dc.subject.por.fl_str_mv |
Intertemporal dimension Dynamics Spot prices Future markets |
topic |
Intertemporal dimension Dynamics Spot prices Future markets |
description |
Artigo publicado em revista científica internacional |
publishDate |
2022 |
dc.date.none.fl_str_mv |
2022-05-23T11:26:55Z 2022-03-08 2022-03-08T00:00:00Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.21/14653 |
url |
http://hdl.handle.net/10400.21/14653 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
Pani, U., Gherghina, Ş. C., Mata, M. N., Ferrão, J. A., & Mata, P. N. (2022). Does Indian Commodity Futures Markets Exhibit Price Discovery? An Empirical Analysis. Discrete Dynamics in Nature and Society. 6431403, 1-14. https://doi.org/10.1155/2022/6431403 https://doi.org/10.1155/2022/6431403 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Hindawi |
publisher.none.fl_str_mv |
Hindawi |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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RCAAP |
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RCAAP |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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