A Multivariate Multiscale Entropy Approach to Testing Commodity Market Efficiency
The IUP Journal of Financial Risk Management, Vol. XII, No. 3, September 2015, pp. 7-28
Posted: 16 Dec 2015
Date Written: December 16, 2015
Abstract
This study examines the efficiency of the Indian commodity market after the onset of futures trading on the national level commodity exchanges. The efficiency of five agricultural and three non-agricultural commodities have been tested by calculating multiscale sample entropy, taking univariate and multivariate series. An efficiency index has been built with this design. The results indicate that the Indian commodity market is partially efficient. The efficiency fluctuation is higher in the case of agricultural commodities. The slowdown in 2008 reduced the market efficiency of the exportoriented commodities. Moreover, seasonality in the market efficiency is observed for a few agricultural commodities.
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