Market Efficiency and Trend Analysis of Spot and Futures Commodity Market in India – An Analytical Study

MIJBR, Vol. 3, 2016

13 Pages Posted: 2 Dec 2018

See all articles by Shaik Masood

Shaik Masood

KL University

Satyanarayana Chary

Independent

Mohammed Mujahed Ali

Madanapalle Institute of Technology & Science

Date Written: December 24, 2016

Abstract

The present paper explores the presence of association, trend and long term price efficiency between the Spot and Futures Commodity Derivatives Market in India. The study uses descriptive, correlation analysis to test the association, Augmented Dickey Fuller (ADF) test for stationarity, Mann-Kendall analysis for trend and Engel-Granger test for long term efficiency between Commodity Spot and Futures market. The analysis done by using the MCX four major Comdex, Agri, Metal and Energy Spot as well as Futures indices. It is concluded that trend exists between spot and future commodity indices and found efficient.

Keywords: Commodity futures, growth, trend, derivatives, commodity exchange, Agriculture and NonAgriculture Commodities

Suggested Citation

Masood, Shaik and Chary, Satyanarayana and Ali, Mohammed Mujahed, Market Efficiency and Trend Analysis of Spot and Futures Commodity Market in India – An Analytical Study (December 24, 2016). MIJBR, Vol. 3, 2016. Available at SSRN: https://ssrn.com/abstract=3280870

Shaik Masood

KL University ( email )

Vaddeswaram, Guntur District
Andhra Pradesh
India
9948052907 (Phone)

Satyanarayana Chary

Independent ( email )

No Address Available

Mohammed Mujahed Ali (Contact Author)

Madanapalle Institute of Technology & Science ( email )

Angallu,
Kadiri Road
Madanapalle Chittoor, Andhra Pradesh 517325
India

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