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 paper aims to study the market efficiency, unbiasedness and direction of causality among four agricultural commodities futures contracts traded at National Commodity & Derivatives Exchange Ltd. (NCDEX). The study has tested the efficiency and unbiasedness using Johansen's Cointegration...

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...

Commodity Futures were reintroduced a few years into the beginning of the millennia. After ahealthy run, signs of corrections were seen in the Indian commodity markets in 2012. Butunearthing of the NSEL Spot Exchange scam of Rs 5,600 crore in July 2013, had disastrousconsequences on the volume...

The paper aims to study the market efficiency, unbiasedness among seventeen agricultural commodities futures contracts traded at National Multi-Commodity Exchange of India ltd. (NMCE). The paper uses a two step approach by first testing long run relationship using Johansen's cointegration...

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...