JOURNAL ARTICLE
Futures trading and commodity spot market volatility: Empirical evidence on selected commodities in Indian market
Masoud ParsaT. Mallikarjunappa
Year: 2014 Journal: Risk and Decision Analysis Vol: 5 (1)Pages: 43-61 Publisher: IOS Press
Abstract
This paper examines the possible effects of commodity futures trading on commodity spot price volatility in Indian market using GARCH family models. We examine daily trading and hedging activities effects by incorporating futures trade volume and ope
Keywords:
Futures contract Volatility (finance) Spot market Futures market Spot contract Economics Financial economics Commodity market Forward market Commodity Empirical evidence Monetary economics Market economy Finance
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2
Cited By
0.75
FWCI (Field Weighted Citation Impact)
56
Refs
0.85
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Is in top 1%
Is in top 10%
Citation History
Topics
Market Dynamics and Volatility
Social Sciences → Economics, Econometrics and Finance → Economics and Econometrics
Monetary Policy and Economic Impact
Social Sciences → Economics, Econometrics and Finance → General Economics, Econometrics and Finance
Financial Risk and Volatility Modeling
Social Sciences → Economics, Econometrics and Finance → Finance
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