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
Date Written: December 24, 2016
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
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