The Price Discovery and Efficiency of Indian Commodity Future Market: A Study on Multi-Commodity Exchange of India Limited - Image 1

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LAP Lambert Academic Publishing The Price Discovery and Efficiency of Indian Commodity Future Market: A Study on Multi-Commodity Exchange of India Limited

Name: The Price Discovery and Efficiency of Indian Commodity Future Market: A Study on Multi-Commodity Exchange of India Limited
Brand: LAP Lambert Academic Publishing
Price: 55.0 GBP
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Description

The study investigates the performance of Multi-Commodity Exchange Futures market in terms of market efficiency and price discovery with the Johansen & Juselius (1990) co-integration model. Vector Error Correction Model has been used to expose the short-term relationship between spot and future market. The empirical results revealed that with the evidence, to support the long-run equilibrium relationships in Spot-Futures markets and the dominant role of futures in price discovery. To that extent the price formation is efficient i.e., futures markets are perfect hedge against the variations in spot-prices and the price movements in the futures market lead price formation in the spot-market. The results owes that futures market exerts a stronger influence on the spot-market and, therefore, to that extent the futures prices are able to discover prices efficiently. The empirical results thus, leads to a conclusion that the MCX futures market is matured and efficient.

Product Specifications

Brand: LAP Lambert Academic Publishing
Format: paperback
ASIN: 3659474819
Category: Books > Subjects > Business, Finance & Law > Management > Balanced Scorecard
Domain: Amazon UK
Release Date: 23 October 2013
Listed Since: 04 November 2013

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LAP Lambert Academic Publishing The Price Discovery and Efficiency of Indian Commodity Future Market: A Study on Multi-Commodity Exchange of India Limited

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