Volatility spillovers and nexus among agridex and non-agri indexes in Indian commodity markets

P. Lakshminarasa Reddy and S. Visalakshmi

International Journal of Services, Economics and Management, 2024, vol. 15, issue 3, 324-341

Abstract: Commodity market indexes are the key indicator of important market information and sentiment, which helps investors to make sound investment decisions. Commodity derivatives were initially intended to protect farmers from low or high crop risk and generating short term profits. The purpose of this study is to investigate the volatility spillover effects and nexus between the agridex and non-agri indexes in India using daily data of AGRI and non-agri indexes returns spanning from April 2016 to November 2021 by employing Johansen co-integration test, ARCH, and GARCH models. The results exhibited the non-existence of long run relationship between AGRI and non-agri indexes. Further, the analysis provides the evidence of volatility spillover across the indexes.

Keywords: agridex; non-agri indexes; volatility spillover; co-integration; ARCH; GARCH. (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:ids:injsem:v:15:y:2024:i:3:p:324-341

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