Market efficiency of commodity futures in India

Takeshi Inoue · Shigeyuki Hamori

34 citations0/0 files storedApplied Economics Letters

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Financial Markets and Investment Strategies Economics of Agriculture and Food Markets Market Dynamics and Volatility

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.

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References

1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1988Statistical analysis of cointegration vectors 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*1970Efficient Capital Markets: A Review of Theory and Empirical Work 1993A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems 1990Statistical Inference in Instrumental Variables Regression with I(1) Processes 1992Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation 1991Futures market efficiency: Evidence from cointegration tests

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