A Study of the Efficiency and Unbiasedness in NCDEX: A Case Study of Guar Gum
XI Capital Markets Conference, 21-22 December 2012, Indian Institute of Capital Markets (UTIICM)
Posted: 2 May 2013
Date Written: December 21, 2012
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: Market efficiency, Futures market, Guar gum
JEL Classification: C14, C32, G14
Suggested Citation: Suggested Citation