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Please use this identifier to cite or link to this item: http://hdl.handle.net/2344/1186

タイトル: Market efficiency of commodity futures in India
著者: Inoue, Takeshi
Hamori, Shigeyuki
井上, 武
羽森, 茂之
キーワード: India
Financial market
Primary commodities
Prices
Futures markets
Commodity futures
Efficiency
Issue Date: Oct-2012
出版者: Institute of Developing Economies, JETRO
引用: IDE Discussion Paper. No. 370. 2012.10
抄録: This paper aims to examine the market efficiency of the commodity futures market in India, which has been growing phenomenally for the last few years. We estimate the long-run equilibrium relationship between the multi-commodity futures and spot prices and then test for market efficiency in a weak form sense by applying both the DOLS and the FMOLS methods. The entire sample period is from 2 January 2006 to 31 March 2011. The results indicate that a cointegrating relationship is found between these indices and that the commodity futures market seems to be efficient only during the more recent sub-sample period since July 2009.
URI: http://hdl.handle.net/2344/1186
Appears in Collections:04.IDE Discussion Paper
01.経済、産業(Economy and Industry)/南アジア(South Asian Studies)

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