This study examines the price transmission between cotton prices in U.S., Indian, and Chinese futures markets. We focus on studying the long-run price movements using cointegration and alternate causality tests. The empirical results indicate the following: (a) the U.S. cotton futures market...

The present study investigates the linear and nonlinear causality between spot and future returns of four notional indices maintained by Multi Commodity Exchange of India (MCX). The data covers two periods June 2005 – June 2008 and July 2008 - November 2011. Apart from the conventional linear...

One of the major assumptions of predictive statistics is that it assumes the parameters to be consistent and constant over time. However, in actual scenario the financial time series data is highly volatile and inconsistent. Any shift or change in the time series under study can challenges the...

This study examines the price transmission between cotton prices in U.S., Indian, and Chinese futures markets. We focus on studying the long-run price movements using cointegration and alternate causality tests. The empirical results indicate the following: (a) the U.S. cotton futures market...