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

See all articles by Tarun Kumar Soni

Tarun Kumar Soni

NITI Aayog

Harish Singla

Government of India - National Institute of Financial Management (NIFM)

Multiple version iconThere are 2 versions of this paper

Date Written: December 21, 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: Market efficiency, Futures market, Guar gum

JEL Classification: C14, C32, G14

Suggested Citation

Soni, Tarun Kumar and Singla, Harish, A Study of the Efficiency and Unbiasedness in NCDEX: A Case Study of Guar Gum (December 21, 2012). XI Capital Markets Conference, 21-22 December 2012, Indian Institute of Capital Markets (UTIICM) . Available at SSRN: https://ssrn.com/abstract=2255445 or http://dx.doi.org/10.2139/ssrn.2255445

Tarun Kumar Soni (Contact Author)

NITI Aayog ( email )

NITI Aayog
New Delhi, 100018
India

Harish Singla

Government of India - National Institute of Financial Management (NIFM) ( email )

Sector 48
Pali Road
Faridabad, Haryana 121001
India

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