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Market efficiency in Indian commodity futures markets
16 references·1 citing·39 second hop
Market efficiency in Indian commodity futures markets (2013)Market efficiency in Indian commodity fut…Asset storability and price discovery in commodity futures markets: A new look (2001)Asset storability and price d…Market Efficiency, Thin Trading and Non‐linear Behaviour: Evidence from an Emerging Market (1997)Market Efficiency, Thin Tradi…Emerging equity market volatility (1997)Emerging equity market volati…Price discovery in petroleum markets: Arbitrage, cointegration, and the time interval of analysis (1994)Price discovery in petroleum …Futures market efficiency: Evidence from cointegration tests (1991)Futures market efficiency: Ev…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…Efficient Capital Markets: II (1991)Efficient Capital Markets: IIBivariate garch estimation of the optimal commodity futures Hedge (1991)Bivariate garch estimation of…MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage (1987)Commodity Futures Prices: Som…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Testing Rational Expectations and Efficiency in the Foreign Exchange Market (1983)Testing Rational Expectations…Price Movements and Price Discovery in Futures and Cash Markets (1983)Price Movements and Price Dis…Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Forward Exchange Rates as Opt…Temporal Relationships Among Prices on Commodity Futures Markets: Their Allocative and Stabilizing Roles (1970)Temporal Relationships Among …EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Night trading and market quality: Evidence from Chinese and US precious metal futures markets (2020)Night trading and market qual…Statistical analysis of cointegration vectors (1988)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)The Interest Rate Parity Theorem: A Reinterpretation (1973)Price Discovery in the U.S. Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve (2004)The relationship between crude oil spot and futures prices: Cointegration, linear and nonlinear causality (2008)Devil or Angel? The Role of Speculation in the Recent Commodity Price Boom (and Bust) (2009)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)A test for constant correlations in a multivariate GARCH model (2000)Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH (2015)Safe haven, hedge and diversification for G7 stock markets: Gold versus bitcoin (2019)Asset Prices in an Exchange Economy (1978)Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Does financial liberalization spur growth? (2005)Presidential Address: Discount Rates (2011)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Corporate financing and investment decisions when firms have information that investors do not have (1984)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Capital markets research in accounting (2001)The Behavior of Stock-Market Prices (1965)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! The challenges and opportunities of Social Media (2009)A Treatise on Money (1971)Forward and spot exchange rates (1984)Stochastic Convenience Yield and the Pricing of Oil Contingent Claims (1990)What do we learn from the price of crude oil futures? (2010)Financialization of Commodity Markets (2013)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Asymmetric Volatility and Risk in Equity Markets (2000)Asymmetric correlations of equity portfolios (2002)Individualism and Momentum around the World (2010)
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1991Efficient Capital Markets: II5,346 cited
  • 1980Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis2,112 cited
  • 1997Emerging equity market volatility1,703 cited
  • 1987Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage1,047 cited
  • 1991Bivariate garch estimation of the optimal commodity futures Hedge729 cited
  • 1983Price Movements and Price Discovery in Futures and Cash Markets641 cited
  • 1994Price discovery in petroleum markets: Arbitrage, cointegration, and the time interval of analysis283 cited
  • 2001Asset storability and price discovery in commodity futures markets: A new look224 cited
  • 1970Temporal Relationships Among Prices on Commodity Futures Markets: Their Allocative and Stabilizing Roles197 cited
  • 1983Testing Rational Expectations and Efficiency in the Foreign Exchange Market

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182 cited
  • 1997Market Efficiency, Thin Trading and Non‐linear Behaviour: Evidence from an Emerging Market175 cited
  • 1991Futures market efficiency: Evidence from cointegration tests175 cited
  • Cited by

    • 2020Night trading and market quality: Evidence from Chinese and US precious metal futures markets34 cited