Hedging efficiency of commodity futures markets in India

By:

YAGANTI, C HUSSAIN

Contributor(s):

KAMAIAH, B

Material type:

Mixed materialsPublication details: 2012Description: 40-58Subject(s):

NLM classification:

332.632

In: ICFAI: JOURNAL OF FINANCIAL RISK MANAGEMENTMSummary: Present study investigates the hedging hedging effectiveness of commodity futures contracts fro spices and base metals by employinh cointegration and error correction methodology with different maturity time horizns varying from one month to threemonths, i.e. maturity months, near by month and far month. The optional hedge ratios are calculated from Ordinary Least Squares(OLS) regression and Error Correction Model(ECM). It is found that the futures market dominates in price discoveryin nearby month contracts. This study supprots that futures price representing the collective market opinion is considered as reference price for spot market players like traders, farmers and otherstakeholders in commodity trding domain.

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Item type	Current library	Call number	Vol info	Status	Date due	Barcode
Periodicals/Magazines	SSCBS Library		9/2	Available		P14356

Present study investigates the hedging hedging effectiveness of commodity futures contracts fro spices and base metals by employinh cointegration and error correction methodology with different maturity time horizns varying from one month to threemonths, i.e. maturity months, near by month and far month. The optional hedge ratios are calculated from Ordinary Least Squares(OLS) regression and Error Correction Model(ECM). It is found that the futures market dominates in price discoveryin nearby month contracts. This study supprots that futures price representing the collective market opinion is considered as reference price for spot market players like traders, farmers and otherstakeholders in commodity trding domain.

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