Market efficiency of commodity futures in India

Takeshi Inoue and Shigeyuki Hamori

Applied Economics Letters, 2014, vol. 21, issue 8, 522-527

Abstract: This article aims to examine the market efficiency of the commodity futures market in India, which has been growing phenomenally over the last few years. We estimate the long-run equilibrium relationship between multi-commodity futures and spot prices and then test for weak-form market efficiency by applying both the dynamic ordinary least squares and fully modified ordinary least squares methods. The entire sample period is from 2 January 2006 to 31 March 2011. The results indicate that a cointegrating relationship exists between these indices and that the commodity futures market appears efficient during the more recent sub-sample period since July 2009 onwards.

Date: 2014
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Related works:
Chapter: Market Efficiency of Commodity Futures in India (2014)
Working Paper: Market efficiency of commodity futures in India (2012)
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DOI: 10.1080/13504851.2013.872751

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