Year: 2014
Type: article
Abstract: This article aims to examine the market efficiency of the commodity futures market in India, which has been growing phenomenally over the last few years. We estimate the long-run equilibrium relationship between multi-commodity futures and spot prices and then test for weak-form market efficiency by applying both the dynamic ordinary least squares and fully modified ordinary least squares methods. The entire sample period is from 2 January 2006 to 31 March 2011. The results indicate that a cointegrating relationship exists between these indices and that the commodity futures market appears efficient during the more recent sub-sample period since July 2009 onwards.
Source: Applied Economics Letters
Authors: Takeshi Inoue, Shigeyuki Hamori
Institutions: Nanzan University, Kobe University
Language: English
Subfield: Finance
Domain: Social Sciences
SDG: Zero hunger
Open Access status: green
OpenAlex ID: W2032300903