Price Discovery in Futures and Spot Commodity Markets in India National Workshop on Commodity Research, 10th October, 2007, India International Centre,

Slides:

Advertisements

Similar presentations

1 Modelling and Measuring Price Discovery in Commodity Markets Isabel Figuerola-Ferretti Jesús Gonzalo Universidad Carlos III de Madrid Business Department.

Advertisements

MODELLING THE RELATIVE EFFECTS OF FINANCIAL SECTOR FUNCTIONS ON ECONOMIC GROWTH IN A DEVELOPING COUNTRY CONTEXT USING COINTEGRATION AND ERROR CORRECTION.

1 UNCTAD Virtual Institute Training Course on Commodities Geneva, 15 February 2010 Rouben Indjikian, Chief, CPIOS Special Unit on Commodities, UNCTAD Fundamentals,

Outline of A STUDY ON THE NATURAL RUBBER MARKET IN INDIA byP.M.Mathew Institute of Small Enterprises and Development ISED House, ISED Road, Cochin -682.

Indirect Real Estate Investments and their Links with Properties, Common Stocks and the Macroeconomy Alexander Schätz European Real Estate Society Conference.

Commodity Markets under the Globalization Regime: A Study of the Indian scenario Research Proposal Sumalatha.B.S.

Chapter 19 Accounting in International Business

CERC Hearing on Power Exchange Presentation by NCDEX 19 December, 2006.

Reasons Why FTIL & NSEL should not be held responsible for the NSEL crisis

© IFP OIL MARKET VOLATILITY : AN ECONOMETRIC ANALYSIS OF THE INTERACTIONS BETWEEN THE CRUDE OIL MARKET, THE GAS OIL AND THE GASOLINE MARKETS Frederic LANTZ,

Theories of Exchange Rate. Introduction An exchange rate is the relative price of one currency in terms of another. It influences allocation of resources.

Jeffrey H. Harris Collins Chair in Finance Southern Methodist U and U of Delaware In the Aftermath of the Crisis: Evolution in Financial Regulation and.

MCX: Developing Indian Commodity Ecosystem Joseph Massey Deputy Managing Director MCX.

Copyright © 2001 by Harcourt, Inc. All rights reserved.1 Chapter 1: Introduction You’re into derivatives whether you like it or not. Your adjustable rate.

East Asian Equity Markets, Financial Crisis, and the Japanese Currency Stephen Yan-leung Cheung Professor of Finance (Chair) Department of Economics and.

An Enquiry into Efficiency of Futures Trading in Agricultural Commodities in India Ashwini Kumar, IES Ministry of Agriculture.

2 LIBERALIZATION, PRODUCTIVITY AND AGGREGATE EXPENDITURE: FUNDAMENTAL DETERMINANTS OF REAL EQUILIBRIUM EXCHANGE RATE Juan Benítez Gabriela Mordecki XI.

BY Ashutosh Roy IIM Ahmedabad Convenience Yields Modeling as Call Options: Indian wheat Market National Workshop on Commodity Research Organized By NCDEX.

Food Security in India: Does the futures market for wheat meet the bill? Prof. K.V. Bhanu Murthy Department of Commerce, Delhi School of Economics, University.

Chapter 2 Mechanics of Futures Markets Options, Futures, and Other Derivatives, 8th Edition, Copyright © John C. Hull

FUTURE TRADING ACTIVITY AND COMMODITY CASH PRICE VOLATILITY: EVIDENCE FROM INDIA Sanjay Sehgal Professor of Finance Department of Financial Studies University.

Hedging Effectiveness with Physical Delivery and Cash Settlement at Indian Commodity Futures Market: An Empirical Comparison Analysis Prasanna Kumar Barik.

Building capacity in Central Asia to utilize trade policy for human development (Uzbekistan report) Dilshod Akbarov Research Coordinator, UNDP Uzbekistan.

 Modern approach to the analysis of exchange rate: ◦ Fundamental difference between the characteristics of exchange rates and those of national price.

Role of finance in economic growth process: A comment KP Krishnan 1.

Determinants of the velocity of money, the case of Romanian economy Dissertation Paper Student: Moinescu Bogdan Supervisor: Phd. Professor Moisă Altăr.

Taiwan Political Exchange The Taiwan Political Exchange (TAIPEX), operated by a socioecono- physics research group at Institute of Physics of Academia.

Financial Derivatives market of Brazil. OUTLINE – Derivative market in Brazil – Derivative users in Brazil – Factors Contributing to the growth of derivatives.

Real Estate Equities – Real Estate or Equities? Schätz, Alexander and Sebastian, Steffen European Real Estate Society Conference 2009 in Stockholm June.

PROF. V K SAPOVADIA, FINANCE & ACCOUNTING, INDIAN INSTITUTE OF MANAGEMENT, INDORE, INDIA. Good Cooperative Governance as a Tool to withstand Urban Coop.

Some Evidences of Power- Law Distribution in Indian Capital Market DEBASIS BAGCHI BENGAL ENGINEERING AND SCIENCE UNIVERSITY, SHIBPUR.

Exchange rates International transaction in cash requires two distinct purchases Purchase of foreign currency Purchase of good/service with the FC Term.

Testing the Efficiency of Agriculture Commodities Market in India Prof Sanjay Sehgal Abhishek Singh.

Copyright© JSE Limited Rod Gravelet-Blondin Commodity Derivatives JSE Limited Learning from South Africa 1 ECX-UNDP Knowledge Forum.

Proposal for Studying the Structure of Commodity Futures Market in Rice and Soybean and Also the Impact on the Income and Production of the Farmers Vishwa.

Residential Investment and Interest Rate: A Nonlinear Analysis Zan Yang Institute of Real Estate Studies Tsinghua University ， Beijing.

Is Government Justified in Banning Futures Trade in Essential Commodities? Alka Parikh Department of Economics, University of Mumbai This paper has benefited.

Mean and Variance Dynamics Between Agricultural Commodity Prices, Crude Oil Prices and Exchange Rates Ardian Harri Mississippi State University Darren.

Econometric methods of analysis and forecasting of financial markets Lecture 4. Cointegration.

Introduction The Nature of Derivatives A derivative is an instrument whose value depends on the values of other more basic underlying variables. Or A.

Information by the Managing Authority on evaluations of EU funds in 2009 Monitoring Committee meeting 25 March 2009.

Educational Tour to Financial Institutions, Mumbai A Unique Learning, Networking and Fun Experience Packaged by:

What challenges does commodity derivative market regulation need to consider? Myriam Vander Stichele SOMO 21 September 2010.

FDI v/s FII (India and China) Presented By : Sakshi Chawla Apurva Jain Rahul Ojha Siddharth Jain Varun Chopra Amit Vasishth (MBA-IB,Sec-C)

P/E RATIO FED TAPERING.

BRICS Financial Markets and Integration. growth. significance

Exchange Rate Determination

Special Economic Zones and Land Acquisition: Issues and Approaches

Weather, Energy, and Insurance Derivatives

Risk Management

Risk Management

Risk Management

Risk Management

What Foreign Exchange Risk?

COINTEGRATION TEST OF A LONG-RUN RELATION BETWEEN THE REAL EFFECTIVE EXCHANGE RATE AND THE TRADE BALANCE 授課教授：楊奕農學生：姜旭東.

CORPORATE OVERVIEW.

Economics of International Finance Econ. 315

Overview of Initiative

VOLATALITY AND FORECASTS OF COMMODITY EXCHANGE MARKET IN INDIA

For more information, please see our methodology at:

Emergence of Commodities as an investment class

Ministry Of Supply & Internal Trade

國際金融專題期中報告 Cointegration And The Causality Between Stock Prices And Exchange Rates Of The Korean Economy 授課教授：楊奕農教授國貿碩一梁璇德.

Financial derivatives: swaps

An Outline of the Proposed Study

ICON-Institute Public Sector

Price Convergence in Agricultural Commodity Market

ISLAMIC ECONOMICS PROJECT

Price Discovery BY Dhanya K A.

Presentation transcript:

Price Discovery in Futures and Spot Commodity Markets in India National Workshop on Commodity Research, 10th October, 2007, India International Centre, New Delhi. Pratap Ch. Biswal & Raghavendra Badaskar T. A. Pai Management Institute, Manipal

Background of this Study The Indian commodity futures markets recorded a 373% growth during Still there are quite apprehensions about commodity futures market in India, particularly from politicians The Finance Minister P Chidambaram expressed strong conviction about the forwards/futures market and urged all political parties to support Forward Contracts (Regulation) Amendment Bill CPM and JD (U) opposed the bill, the CPM wanted essential commodities to be banned from futures trading. JD (U) suggested that the commodities exchange Act should be repealed

Derivation of the Objective There has been widespread interest in the relationship between commodity futures market and spot trading Objective is to examine the role of commodity futures market in performing the function of price discovery in India. The price discovery function depends on whether new information is reflected first on futures or spot prices. The significance of price discovery depends upon a close relationship between futures and spot price.

Methodology The price linkage between futures market and spot market would be investigated using cointegration (Johansen, 1991) analysis and Error Correction. Cointegration analysis measures the extent to which two markets have achieved a long run equilibrium. Error Correction dynamics characterize the price discovery process, whereby markets attempt to find equilibrium.

Data Exchanges: MCX and NCDEX Market Base Study: Indices would be used Data: Spot and Futures Indices: 4 from MCX and 1 from NCDEX

Suggestions Please!!! Thank you!!!