Nonlinearity in the Indian Commodity Markets: Evidence from a Battery of Tests

Soni, Tarun. "Nonlinearity in the Indian commodity markets: evidence from a battery of tests." International Journal of Financial Engineering and Risk Management 1.1 (2013): 73-89.

17 Pages Posted: 21 Feb 2012 Last revised: 15 Dec 2013

See all articles by Tarun Kumar Soni

Tarun Kumar Soni

Fore School of Management; NITI Aayog

Date Written: February 21, 2012

Abstract

This study tests for the presence of nonlinear dependence in the rate of returns series for four multi commodity exchange indices. Six different tests for detecting nonlinearity were employed and the statistics were estimated using both the asymptotic theory and the bootstrap. The analysis of results reveals that there is a consensus in favor of nonlinearity for Metal and Energy indices even after removing linear serial correlations from the data, hence, contradicting the unpredictable criterion of weak-form efficient market hypothesis. Further the results for Agriculture spot index is almost reversed as evidence against nonlinearity is rejected by all the tests employed in the study. Thus the nonlinear characteristics of Indian commodity indices especially metal and energy indices are confirmed by the study.

Suggested Citation

Soni, Tarun Kumar, Nonlinearity in the Indian Commodity Markets: Evidence from a Battery of Tests (February 21, 2012). Soni, Tarun. "Nonlinearity in the Indian commodity markets: evidence from a battery of tests." International Journal of Financial Engineering and Risk Management 1.1 (2013): 73-89., Available at SSRN: https://ssrn.com/abstract=2008579

Tarun Kumar Soni (Contact Author)

Fore School of Management ( email )

New Delhi
India

NITI Aayog ( email )

NITI Aayog
New Delhi, 100018
India

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