Hedging efficiency of commodity futures markets in India
Material type: Mixed materialsPublication details: 2012Description: 40-58Subject(s): NLM classification:- 332.632
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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