A Study of the Efficiency and Unbiasedness in NCDEX: A Case Study of Guar Gum

Presented at XI Capital Market Conference, IICM Mumbai, 21-22, December 2012

Posted: 9 Nov 2012 Last revised: 1 Jan 2013

Multiple version iconThere are 2 versions of this paper

Date Written: November 8, 2012

Abstract

The paper aims to study the market efficiency, unbiasedness among Guar gum futures contracts traded at National Commodity & Derivatives Exchange Ltd (NCDEX). The study has tested the market efficiency and unbiasedness with different maturities using cointegration analysis, and short-term market efficiency, using an error correction model and GARCH-M-ECM. The results suggest that futures market for guar gum is inefficient, which may be caused by over-speculation or market manipulation. The results indicate an urgent need to provide more powers to FMC to regulate the market and penalize any insider trading, cartelization and price manipulations.

Keywords: cointegration, market efficiency, futures market, Guar gum

JEL Classification: C14, C32, G14

Suggested Citation

Soni, Tarun Kumar, A Study of the Efficiency and Unbiasedness in NCDEX: A Case Study of Guar Gum (November 8, 2012). Presented at XI Capital Market Conference, IICM Mumbai, 21-22, December 2012. Available at SSRN: https://ssrn.com/abstract=2172620

Tarun Kumar Soni (Contact Author)

NITI Aayog ( email )

NITI Aayog
New Delhi, 100018
India

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