Research Journal of Humanities and Social Sciences

Open Access Open Access  Restricted Access Subscription Access
Open Access Open Access Open Access  Restricted Access Restricted Access Subscription Access

Volatility Analysis of Commodity Futures and Common Stocks Market:An Example of India


Affiliations
1 Department of Economics, Vivekananda College, Thakurpukur, Kolkata 713104, India
2 Department of Economics, The University of Burdwan, Golapbag Campus, Burdwan 713104, India
     

   Subscribe/Renew Journal


The paper investigates the pattern of volatility in daily return from select Commodity Futures and Stock market in India. One Commodity Future from each group of futures is chosen for the study and they are - Potato, Gold, Crude oil and Mentha Oil. S&P CNX Nifty is selected as a representative of stock market. This study uses several econometrics techniques and in particular, GARCH family models are used for examining the volatility aspects of commodity futures and Nifty Index. The results obtained point to the fact that Crude Oil and Gold futures market is almost similar to the functioning of the stock market in India.

Keywords

Commodity Futures, Nifty, Volatility, GARCH.
Subscription Login to verify subscription
User
Notifications
Font Size


  • Banumathy, K. and R. Azhagaiah. “Modelling Stock Market Volatility: Evidence from India”. http://www.fmkp.si/zalozba/ISSN/1581-6311/13_027-041.pdf. Vol.13, N0.1, (Spring 2015), pp.27-42.

  • Batra, A. “Stock Return Volatility Patterns in India”. Working Paper no. 124 [Online] Available: http://www.icrier.org/pdf/wp124.pdf. 2004.

  • Bollerslev, T. “Generalized Autoregressive Conditional Heteroskedasticity”. Journal of Econometrics, Vol. 31, No. 3 (1986), pp. 307-327.

  • Chauhan, K.A., S. Singh and A. Arora. “Market Efficiency and Volatility Spillovers in Futures and Spot Commodity Market”. The Agricultural Sector Perspective .SBIM, Vol. VI, No. 2(September 2013), pp.61-84.

  • Dickey, A. D. and A. W. Fuller. “Distribution of the Estimators for Autoregressive Time Series With a Unit Root”. Journal of the American Statistical Association, Vol. 74, No. 366, (Jun 1979), pp. 427-431.

  • Engle, R. F. “Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of UK Inflation”. Econometrica, Vol. 50, No. 4 (1982), pp. 987-1007.

  • Engle R, D. Lilien and R. Robins. “Estimating Time Varying Risk Premia in the Term Structure: The ARCH-M Model”. Econometrica, Vol. 55 (1987), pp. 391–407.

  • Karmakar, M. “Modelling Conditional Volatility of the Indian Stock Markets”. Vikalpa, Vol. 30, No. 3, (July-September, 2005), pp. 21-37.

  • Kumar, B.“Effect of Futures Trading on Spot Market Volatility: Evidence from Indian Commodity Derivatives Markets”. Social Science Research Network, (March, 2009).

  • Kumar, B. and A. Pandey.“Price Volatility, Trading Volume and Open Interest: Evidence from Indian Commodity Futures Markets”. Social Science Research Network, (August, 2010).

  • _ _ and _ _.“International Linkages of the Indian Commodity Futures Market”. Modern Economy, (July 2011), pp. 213-227.

  • Kumar, B. and P. Singh. “Volatility Modeling, Seasonality and Risk-Return Relationship in GARCH-in-Mean Framework: The case of Indian Stock and Commodity Markets”. W.P. No. 2008-04-04, IIMA, (April, 2008), pp. 1-35.

  • Kumar, M. M. , D. Acharya and B. M. Suresh. "Price discovery and volatility spillovers in futures and spot commodity markets : Some Indian evidence". Journal of Advances in Management Research, Vol. 11 Iss: 2 (2014), pp.211 – 226.

  • Malhotra, M and K. D. Sharma. “Volatility Dynamics in Oil and Oilseeds Spot and Futures Market in India”. Vikalpa, Vol. 41, No. 2 (2016), pp. 132-148

  • Nelson, D. “Conditional Heteroscedasticity in Asset Returns : A new approach”. Econometrica, Vol. 59 (1991), pp. 347-370

  • Phillips, P.C.B. and P. Perron. “Testing for Unit Roots in Time Series Regression.” Biometrika, Vol. 75 (1988), pp.335-346.

  • Sehgal,S., N. Rajput and K. R. Dua. “Futures Trading and Spot Market Volatility: Evidence from Indian Commodity Markets”. Asian Journal of Finance & Accounting, Vol. 4, No. 2 (2012), pp. 199-217

  • Shenbagaraman, P. “Do Futures and Options Trading Increase Stock Market Volatility?” Paper published as part of the NSE Research Initiative, available at www.nseindia.com. (2003)

  • Srinivasan, P. “Price Discovery and Volatility Spillovers in Indian Spot – Futures Commodity Market’”. The IUP Journal of Behavioral Finance, 9 (2012), pp. 70-85.

  • Zakoian, J. M. “Threshold Heteroscedasticity Models”. Journal of Economic Dynamics and Control, Vol. 18, No. 5 (1994), pp. 931-944.


Abstract Views: 269

PDF Views: 0




  • Volatility Analysis of Commodity Futures and Common Stocks Market:An Example of India

Abstract Views: 269  |  PDF Views: 0

Authors

Isita Mukherjee
Department of Economics, Vivekananda College, Thakurpukur, Kolkata 713104, India
Bhaskar Goswami
Department of Economics, The University of Burdwan, Golapbag Campus, Burdwan 713104, India

Abstract


The paper investigates the pattern of volatility in daily return from select Commodity Futures and Stock market in India. One Commodity Future from each group of futures is chosen for the study and they are - Potato, Gold, Crude oil and Mentha Oil. S&P CNX Nifty is selected as a representative of stock market. This study uses several econometrics techniques and in particular, GARCH family models are used for examining the volatility aspects of commodity futures and Nifty Index. The results obtained point to the fact that Crude Oil and Gold futures market is almost similar to the functioning of the stock market in India.

Keywords


Commodity Futures, Nifty, Volatility, GARCH.

References