Financialisation of Commodity Markets: Evidence from India

Rose Mary K. Abraham

Margin: The Journal of Applied Economic Research, 2022, vol. 16, issue 1, 106-131

Abstract: The known circumstances that favour financialisation of commodity markets which result in unidirectional co-movement of equity and commodity indices are either weak or non-existent in India. Yet, after 2015, there has been a greater correlation between equity and commodity markets even when decoupling is observed in global markets. Results from the rolling regression attest to the shift in response of commodity and equity indices to wholesale price inflation (WPI) and call rate after 2015, indicating that post 2015 co-movement could have been a result of inflation targeting regime. The linear regression as well as the Granger causality analysis based on vector autoregression (VAR) framework, which accounts for simultaneity, confirms that commodity markets are moving on its own supply-demand factors. The rolling regression also brings to light the disciplining effect of regulatory scrutiny and audit trail in the Indian commodity market around July 2013, when National Spot Exchange Ltd. (NSEL) payment crisis and commodity transaction taxes (CTT) occurred. JEL Classifications: G180, G28, C580, G1, G100. G130

Keywords: Inflation targeting; Financialisation; Transaction taxes; NSEL; CTT; Commodity markets (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://journals.sagepub.com/doi/10.1177/09738010211069407 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sae:mareco:v:16:y:2022:i:1:p:106-131

DOI: 10.1177/09738010211069407

Access Statistics for this article

More articles in Margin: The Journal of Applied Economic Research from National Council of Applied Economic Research
Bibliographic data for series maintained by SAGE Publications ().