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Futures trading and commodity spot market volatility : empirical evidence on selected commodities in Indian market

Parsa, Masoud; Mallikarjunappa, T. - In: Risk and decision analysis 5 (2014) 1, pp. 43-61

Persistent link: https://www.econbiz.de/10010492584

Lead-lag relationship and price discovery in Indian commodity derivatives and spot market : an example of pepper

Vasantha, G.; Mallikarjunappa, T. - In: The IUP journal of applied finance : IJAF 21 (2015) 1, pp. 71-83

Persistent link: https://www.econbiz.de/10011300778

Effect of futures trading on spot market volatility : a study of CNX Bank Nifty index

Mallikarjunappa, T.; E. M., Afsal - In: Decision 35 (2008) 1, pp. 31-45

Persistent link: https://www.econbiz.de/10003880250

Lead-Lag Relationship and Price Discovery in Indian Commodity Derivatives and Spot Market : An Example of Pepper

Naik, Vasantha - 2015

This study examines the lead-lag relationship and price discovery process between spot and futures market of pepper in India by employing Johansen's cointegration test and the bivariate VECM-EGARCH(1, 1) models. Augmented Dickey-Fuller (ADF) and Phillips Perron (PP) tests are used to check the...

Persistent link: https://www.econbiz.de/10013015374