A Study on Commodity Market Behaviour, Price Discovery and its Factors

Mihir Dash ()

Journal of Applied Management and Investments, 2019, vol. 8, issue 3, 125-134

Abstract: Commodity markets have been gaining importance in recent years, giving participants an opportunity to go for forward contracting and hedging. In particular, derivative markets have attained more than eighteen times in trading volume when compared to the spot markets. This paper provides an overview of the commodity market in India and its participants, and analyses twelve commodities that are traded in MCX (Multi Commodity Exchange), in terms of price discovery of the spot and futures markets using GARCH model. It also analyses the impact of trading volume, inflation and other macroeconomic factors on spot and futures price movements.

Keywords: commodity markets; price discovery; GARCH model; trading volume; inflation; macroeconomic factors (search for similar items in EconPapers)
JEL-codes: C58 G13 Q02 (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:ods:journl:v:8:y:2019:i:3:p:125-134

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