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The Price Discovery and Efficiency of Indian Commodity Future Market


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  • Product Description

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.

Product Specifications
SKU :COC65061
AuthorRahul Roy
Number of Pages168
Publishing Year2013-10-23T00:00:00.000
Edition1 st
Book TypeBusiness & management
Country of ManufactureIndia
Product BrandLAP LAMBERT Academic Publishing
Product Packaging InfoBox
In The Box1 Piece
Product First Available On ClickOnCare.com2015-07-08 00:00:00
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