Indian Journal of Finance

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A Study of the Efficiency and Unbiasedness in NCDEX: A Case Study of Guar Gum


Affiliations
1 Assistant Professor, Faculty of Management Studies, Banasthali University, Tonk - 304 022, Rajasthan, India
2 Assistant Professor, School of Behavioral Science and Business Studies, Thapar University, Patiala - 147 004, Punjab, India

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The paper aims to study the market efficiency and unbiasedness among guar gum futures contracts traded at the National Commodity&Derivatives Exchange Ltd. (NCDEX). The study has tested the market efficiency and unbiasedness with different maturities using cointegration analysis, and short-term market efficiency, using an error correction model and GARCH-M-ECM. The results suggest that the futures market for guar gum is inefficient in both short run and long run for all maturity periods, which may be caused by over-speculation or market manipulation. The results indicate an urgent need to provide more powers to FMC to regulate the market and penalize any insider trading, cartelization, and price manipulations.

Keywords

Cointegration, Market Efficiency, Futures Market, Guar Gum

C14, C32, G14

Paper Submission Date : January 13, 2013 ; Paper sent back for Revision : April 29, 2013 ; Paper Acceptance Date : August 1, 2013.

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  • A Study of the Efficiency and Unbiasedness in NCDEX: A Case Study of Guar Gum

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Authors

Tarun K. Soni
Assistant Professor, Faculty of Management Studies, Banasthali University, Tonk - 304 022, Rajasthan, India
Harish K. Singla
Assistant Professor, School of Behavioral Science and Business Studies, Thapar University, Patiala - 147 004, Punjab, India

Abstract


The paper aims to study the market efficiency and unbiasedness among guar gum futures contracts traded at the National Commodity&Derivatives Exchange Ltd. (NCDEX). The study has tested the market efficiency and unbiasedness with different maturities using cointegration analysis, and short-term market efficiency, using an error correction model and GARCH-M-ECM. The results suggest that the futures market for guar gum is inefficient in both short run and long run for all maturity periods, which may be caused by over-speculation or market manipulation. The results indicate an urgent need to provide more powers to FMC to regulate the market and penalize any insider trading, cartelization, and price manipulations.

Keywords


Cointegration, Market Efficiency, Futures Market, Guar Gum

C14, C32, G14

Paper Submission Date : January 13, 2013 ; Paper sent back for Revision : April 29, 2013 ; Paper Acceptance Date : August 1, 2013.