This paper analyzes the relation between commodity spot, forward prices, and convenience yield under incomplete markets. We model a maximization profit model of a firm that uses input commodities in order to produce output commodities while storing spot commodities and trading forward to hedge...

This paper studies commodity spot, forward, and futures prices under a continuous-time setting. Our model considers a representative firm, which uses an input commodity to produce an output commodity, stores the commodity, and trades forward or futures commodities to hedge. Through the...

This paper examined the lead-lag relationship between the futures market and spot market for the metal commodity market during the sample period January 2010 through August 2014. The econometric tools like Unit root tests, Johansen co-integration test and Pairwise Granger Causality tests were...

This paper is to analyze the efficiency of agricultural spices commodity markets by assessing the relationships between futures prices and spot market prices of major agricultural spices commodities in India during the sample period of January 2010 through December 2014. The econometric tools...

This study examines the existence of Cointegration between the future and spot prices of highly traded currencies in India like USD, EURO, GBP, and JPY. The spot prices are collected from RBI reference Prices and future prices from MCX-SX (Multi Commodity Exchange-Stock Exchange) from October...

Against the well-established fact that the usefulness and suitability of futures trading in developing the underlying agricultural commodity market, especially in an agriculture-based country like India are been questioned by various bodies. Through this work, it has been analyzing the role of...