{"title":"A Study on Commodity Market Behaviour, Price Discovery and Its Factors","authors":"S. T., Abhishek Dilipkumar Solanki, M. Dash","doi":"10.2139/ssrn.1988812","DOIUrl":null,"url":null,"abstract":"Commodity markets have been gaining importance in recent years, giving participants an opportunity to go for forward contracting and hedging. In particular, derivative markets have attained more than eighteen times in trading volume when compared to the spot markets. This paper provides an overview of the commodity market in India and its participants, and analyses twelve commodities that are traded in MCX (Multi Commodity Exchange), in terms of price discovery of the spot and futures markets using GARCH model. It also analyses the impact of trading volume, inflation and other macroeconomic factors on spot and futures price movements.","PeriodicalId":144511,"journal":{"name":"Chicago Booth Fama-Miller: Capital Markets (Topic)","volume":"20 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2012-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"4","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Chicago Booth Fama-Miller: Capital Markets (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.1988812","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 4
Abstract
Commodity markets have been gaining importance in recent years, giving participants an opportunity to go for forward contracting and hedging. In particular, derivative markets have attained more than eighteen times in trading volume when compared to the spot markets. This paper provides an overview of the commodity market in India and its participants, and analyses twelve commodities that are traded in MCX (Multi Commodity Exchange), in terms of price discovery of the spot and futures markets using GARCH model. It also analyses the impact of trading volume, inflation and other macroeconomic factors on spot and futures price movements.
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