VOLATILITY IN COPPER PRICES IN INDIA

Nidhi Choudhary (), Girish Nair and Harsh Purohit ()
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Nidhi Choudhary: Faculty of Management Studies, WISDOM, Banasthali Vidyapith, India
Harsh Purohit: WISDOM, Faculty of Management Studies, Banasthali Vidyapith, India

Annals of Financial Economics (AFE), 2015, vol. 10, issue 02, 1-26

Abstract: Copper is more popularly known as “Dr. Copper” especially in developed nations, for it is considered as the pulse of the economy. The metal is considered as most erudite to forecast the level of economic activities. But how much is it relevant for Indian Economy? The proposed study explores this face of the situation and considers if in India copper is capable of influencing the economic activities or if the vice versa situation exists. The study uses the nonlinear cointegration and causality tests to understand the direction of causality in volatility of copper prices in India. The volatility in copper prices are studied with respect to movement in Sensex which is considered as the barometer of capital market in India, movement in INR/USD exchange rate which is a major factor behind volatility in copper prices as per MCX and movement in International Copper prices.

Keywords: Copper; Bai–Perron test; nonlinear cointegration; nonlinear causality (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (2)

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DOI: 10.1142/S2010495215500086

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