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Anglický jazyk
The Price Discovery and Efficiency of Indian Commodity Future Market
Autor: Rahul Roy
The study investigates the performance of Multi-Commodity Exchange Futures market in terms of market efficiency and price discovery with the Johansen & Juselius (1990) co-integration model. Vector Error Correction Model has been used to expose the short-term... Viac o knihe
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O knihe
The study investigates the performance of Multi-Commodity Exchange Futures market in terms of market efficiency and price discovery with the Johansen & Juselius (1990) co-integration model. Vector Error Correction Model has been used to expose the short-term relationship between spot and future market. The empirical results revealed that with the evidence, to support the long-run equilibrium relationships in Spot-Futures markets and the dominant role of futures in price discovery. To that extent the price formation is efficient i.e., futures markets are perfect hedge against the variations in spot-prices and the price movements in the futures market lead price formation in the spot-market. The results owes that futures market exerts a stronger influence on the spot-market and, therefore, to that extent the futures prices are able to discover prices efficiently. The empirical results thus, leads to a conclusion that the MCX futures market is matured and efficient.
- Vydavateľstvo: LAP LAMBERT Academic Publishing
- Rok vydania: 2013
- Formát: Paperback
- Rozmer: 220 x 150 mm
- Jazyk: Anglický jazyk
- ISBN: 9783659474811
