Indian Journal of Finance

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Testing the Co-Integration in Indian Commodity Markets: A Study with Reference to Multi Commodity Exchange India Ltd.


Affiliations
1 Assistant Professor - Commerce and Financial Studies, Bharathidasan University, Tiruchirapalli, Tamil Nadu, India
2 Ph.D Scholar, Department of Commerce and Financial Studies, Bharathidasan University, Tiruchirapalli, Tamil Nadu, India

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This paper aims to analyze the relationship between spot and futures prices in the Indian commodity markets. There are various studies relating to testing the efficiency and cointegration of capital markets at the national and global level. An attempt has been made in this paper to test the cointegration of commodities in Multi Commodity Exchange India Ltd. using Johansen's cointegration test. The study period was from January - December 2012. A sample of 10 commodities based on their total turnover during the study period were selected. Johansen's cointegration test results reveal that the spot prices of the selected sample commodities had no influence on their futures prices.

Keywords

Efficiency, Johansen Co-Integration Test, Commodities, Futures Market

C58, G10,G14

Paper Submission Date : September 8, 2013 ; Paper sent back for Revision : October 28, 2013 ; Paper Acceptance Date : December 22, 2013.

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  • Testing the Co-Integration in Indian Commodity Markets: A Study with Reference to Multi Commodity Exchange India Ltd.

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Authors

M. Babu
Assistant Professor - Commerce and Financial Studies, Bharathidasan University, Tiruchirapalli, Tamil Nadu, India
S. Srinivasan
Ph.D Scholar, Department of Commerce and Financial Studies, Bharathidasan University, Tiruchirapalli, Tamil Nadu, India

Abstract


This paper aims to analyze the relationship between spot and futures prices in the Indian commodity markets. There are various studies relating to testing the efficiency and cointegration of capital markets at the national and global level. An attempt has been made in this paper to test the cointegration of commodities in Multi Commodity Exchange India Ltd. using Johansen's cointegration test. The study period was from January - December 2012. A sample of 10 commodities based on their total turnover during the study period were selected. Johansen's cointegration test results reveal that the spot prices of the selected sample commodities had no influence on their futures prices.

Keywords


Efficiency, Johansen Co-Integration Test, Commodities, Futures Market

C58, G10,G14

Paper Submission Date : September 8, 2013 ; Paper sent back for Revision : October 28, 2013 ; Paper Acceptance Date : December 22, 2013.




DOI: https://doi.org/10.17010/ijf%2F2014%2Fv8i3%2F71961