Market Efficiency of Commodity Derivatives with Reference to Nonagricultural Commodities

IF 2.5 Q2 ECONOMICS Asia-Pacific Financial Markets Pub Date : 2023-03-07 DOI:10.1007/s10690-023-09400-3
Hema Divya Kantamaneni, Vasudeva Reddy Asi
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Abstract

The main objective of this paper is to study the market efficiency of nonagricultural commodities markets. Based on the review of literature, the present study tries to find out whether there is a cointegration, lead and lag relation in spot and futures market prices of identified non agricultural commodities traded in multi commodities exchange, using Stationary tests Cointegration and Regression Model which explains Casual relationship between Spot and Futures Markets. The study find that futures prices cause spot prices and vice versa and suggests that no profitable arbitrage exists and investor cannot book profit since new information already gets to be discounted by spot and futures prices simultaneously. The main contribution of the study is empirically identified and proves that there is a casual relationship between futures and spot which helps the investor to forecast the price with respect to Non Agricultural commodities.

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非农业商品衍生产品的市场效率
本文的主要目的是研究非农商品市场的市场效率。本研究在查阅文献的基础上,利用平稳性检验、协整和回归模型来解释现货和期货市场之间的因果关系,试图找出在多商品交易所交易的非农业商品现货和期货市场价格是否存在协整、领先和滞后关系。研究发现,期货价格会影响现货价格,反之亦然。这表明,由于新的信息已经同时被现货和期货价格贴现,因此不存在盈利套利,投资者无法套现获利。研究的主要贡献是通过实证确定并证明期货和现货之间存在因果关系,这有助于投资者预测非农业商品的价格。
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来源期刊
CiteScore
3.00
自引率
0.00%
发文量
34
期刊介绍: The current remarkable growth in the Asia-Pacific financial markets is certain to continue. These markets are expected to play a further important role in the world capital markets for investment and risk management. In accordance with this development, Asia-Pacific Financial Markets (formerly Financial Engineering and the Japanese Markets), the official journal of the Japanese Association of Financial Econometrics and Engineering (JAFEE), is expected to provide an international forum for researchers and practitioners in academia, industry, and government, who engage in empirical and/or theoretical research into the financial markets. We invite submission of quality papers on all aspects of finance and financial engineering. Here we interpret the term ''financial engineering'' broadly enough to cover such topics as financial time series, portfolio analysis, global asset allocation, trading strategy for investment, optimization methods, macro monetary economic analysis and pricing models for various financial assets including derivatives We stress that purely theoretical papers, as well as empirical studies that use Asia-Pacific market data, are welcome. Officially cited as: Asia-Pac Financ Markets
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