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Price Discovery, Transmission and Volatility: Evidence from Agricultural Commodity Futures

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  • Sendhil, R.
  • Kar, Amit
  • Mathur, V.C.
  • Jha, Girish K.

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  • Sendhil, R. & Kar, Amit & Mathur, V.C. & Jha, Girish K., 2013. "Price Discovery, Transmission and Volatility: Evidence from Agricultural Commodity Futures," Agricultural Economics Research Review, Agricultural Economics Research Association (India), vol. 26(01), June.
    • Handle: RePEc:ags:aerrae:152073
    DOI: 10.22004/ag.econ.152073
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    1. Cuddy, John D A & Della Valle, P A, 1978. "Measuring the Instability of Time Series Data," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 40(1), pages 79-85, February.
    2. Brosig, Stephan & Glauben, Thomas & Götz, Linde & Weitzel, Enno-Burghard & Bayaner, Ahmet, 2011. "The Turkish wheat market: spatial price transmission and the impact of transaction costs," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 27(2), pages 147-161.
    3. Singh, N.P. & Kumar, Ranjit & Singh, R.P. & Jain, Praveen Kumar, 2005. "Is Futures Market Mitigating Price Risk: An Exploration of Wheat and Maize Market," Agricultural Economics Research Review, Agricultural Economics Research Association (India), vol. 18(Conferenc).
    4. Zapata, Hector O. & Fortenbery, T. Randall & Armstrong, Delroy, 2005. "Price Discovery in the World Sugar Futures and Cash Markets: Implications for the Dominican Republic," Staff Papers 12657, University of Wisconsin-Madison, Department of Agricultural and Applied Economics.
    5. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    6. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    7. Zhong, Maosen & Darrat, Ali F. & Otero, Rafael, 2004. "Price discovery and volatility spillovers in index futures markets: Some evidence from Mexico," Journal of Banking & Finance, Elsevier, vol. 28(12), pages 3037-3054, December.
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    Citations

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    Cited by:

    1. Bhabani Sankar Rout & Nupur Moni Das & K. Chandrasekhara Rao, 2019. "Volatility Spillover Effect in Commodity Derivatives Market: Empirical Evidence Through Generalized Impulse Response Function," Vision, , vol. 23(4), pages 374-396, December.
    2. Cariappa, AG Adeeth & Acharya, Kamlesh Kumar & Adhav, Chaitanya Ashok & Sendhil, R. & Ramasundaram, P., 2022. "COVID-19 induced lockdown effects on agricultural commodity prices and consumer behaviour in India – Implications for food loss and waste management," Socio-Economic Planning Sciences, Elsevier, vol. 82(PA).
    3. Bhabani Sankar Rout & Nupur Moni Das & K. Chandrasekhara Rao, 2024. "Does Commodity Derivatives Function Effectively? A lengthy Discussion," IIM Kozhikode Society & Management Review, , vol. 13(2), pages 154-165, July.
    4. Sendhil, R. & Ramasundaram, P., 2014. "Performance and Relevance of Wheat Futures Market in India – An Exploratory Analysis," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota 174839, Agricultural and Applied Economics Association.
    5. Chang, Chia-Lin & McAleer, Michael & Wang, Yu-Ann, 2018. "Modelling volatility spillovers for bio-ethanol, sugarcane and corn spot and futures prices," Renewable and Sustainable Energy Reviews, Elsevier, vol. 81(P1), pages 1002-1018.
    6. Isita Mukherjee & Bhaskar Goswami, 2017. "The volatility of returns from commodity futures: evidence from India," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 3(1), pages 1-23, December.
    7. Bhabani Sankar Rout & Nupur Moni Das & K. Chandrasekhara Rao, 2021. "Functional Effectiveness of Commodity Futures Market: A Comparative Assessment of Agricultural and Metal Commodities," Paradigm, , vol. 25(1), pages 42-60, June.
    8. Cariappa, AG Adeeth & Acharya, Kamlesh Kumar & Adhav, Chaitanya Ashok & R, Sendhil & Ramasundaram, P. & Kumar, Anuj & Singh, Satyavir & Singh, Gyanendra Pratap, 2022. "COVID-19 induced lockdown effect on wheat supply chain and prices in India – Insights from state interventions led resilience," Socio-Economic Planning Sciences, Elsevier, vol. 84(C).
    9. Ramadas Sendhil & Kashish Arora & Sunny Kumar & Priyanka Lal & Arnab Roy & Ramalingam Jayakumara Varadan & Sivasankar Vedi & Anandan Pouchepparadjou, 2023. "Price Dynamics and Integration in India’s Staple Food Commodities—Evidence from Wholesale and Retail Rice and Wheat Markets," Commodities, MDPI, vol. 2(1), pages 1-21, February.
    10. Tanushree Sharma & Puja Sharma & Simon Grima, 2024. "A Study of Market Efficiency and Volatility of Jeera Future Trading," Economic Alternatives, University of National and World Economy, Sofia, Bulgaria, issue 4, pages 796-809, December.
    11. Chang, C-L. & McAleer, M.J. & Wang, Y-A., 2016. "Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn," Econometric Institute Research Papers EI2016-15, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.

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