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Maude Whitaker

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Market Moves: Exploring India’s Commodity Terrain
$ 1330
Market Moves: Exploring India’s Commodity Terrain
作者:Whitaker 
出版社:Maude Whitaker
出版日期:2023-11-02
語言:英文   規格:平裝 / 190頁 / 22.86 x 15.24 x 1.02 cm / 普通級/ 初版
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圖書名稱:Market Moves: Exploring India’s Commodity Terrain

內容簡介

Exploring Price Dynamics in Indian Commodity Markets

Understanding Long-Term and Short-Term Relationships

In this preface, we introduce our present research work, which delves into the examination of the relationship, both long-term and short-term, as well as the dynamics of price discovery and volatility spillover between the spot and futures commodity markets in India. Furthermore, this thesis aims to detect variations in primary outcomes during distinct crisis periods, namely the Global Financial Crisis (GFC) and the European Sovereign Debt Crisis (ESDC).

Data and Objectives

Our study leverages daily closing price data for 12 commodities spanning various sectors, covering the period from January 1, 2007, to December 31, 2017. The overarching objectives of this investigation encompass the examination of cointegration, the elucidation of the price discovery function, and the analysis of the volatility spillover effect between the Indian spot and futures commodity markets. To ensure a nuanced understanding and time-dependent results, we partitioned the data into four distinct sub-periods: the GFC period from January 1, 2007, to November 12, 2008; the post-GFC period from November 13, 2008, to April 11, 2011; the ESDC period from April 12, 2011, to August 31, 2015; and finally, the post-ESDC period spanning from September 1, 2015, to December 31, 2017.

Methodology

To achieve these objectives, we employ a range of econometric tools selected based on previous scholarly literature. These tools encompass the Unit Root test, including the Augmented Dickey Fuller and Phillips-Perron tests, Johansen’s Cointegration test, Vector Error Correction Model (VECM), Vector Autoregression (VAR), Autoregressive Distributed Lag (ARDL) model, Granger Causality test, and the **Glosten-Jagannathan-Runkle Generalized Autoregressive Conditional Heteroskedasticity (GJR-GARCH) model.

Key Findings

Our findings reveal that, in the long-term, all commodities exhibit cointegration with their respective spot and futures markets, with the exception of natural gas and soybean during the post-GFC period, gold, aluminium, and lead during the ESDC period, and Jeera during the post-ESDC period. This suggests that these exceptions signify efficiency between their spot and futures markets. In the short-term, all commodities demonstrate cointegration with their spot and futures markets, except Jeera during the GFC and post-GFC periods.


 

詳細資料

  • ISBN:9787059513712
  • 規格:平裝 / 190頁 / 22.86 x 15.24 x 1.02 cm / 普通級 / 初版
  • 出版地:美國
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