Price discovery and volatility spillover: an empirical evidence from spot and futures agricultural commodity markets in India
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Abstract
Suggested Citation
DOI: 10.1108/JADEE-10-2019-0175
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Cited by:
- Paramasivam Ramasamy & Umanath Malaiarasan, 2023. "Agricultural credit in India: determinants and effects," Indian Economic Review, Springer, vol. 58(1), pages 169-195, June.
- A.N. Vijayakumar, 2023. "Declining trade interest in Indian commodity derivatives: a survey-based study on cardamom futures contract," Global Business and Economics Review, Inderscience Enterprises Ltd, vol. 28(3), pages 333-346.
- Weiyi Xia & Tao Xiong & Miao Li, 2024. "Can night trading reduce price volatility? Evidence from China's corn and corn starch futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(4), pages 585-604, April.
- Rahul Kumar Singh, 2023. "Efficiency of Wheat Futures across APMC Mandis," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 21(3), pages 681-701, September.
More about this item
Keywords
Agricultural commodity; Spillover; Volatility; Cointegration; Causality; Price discovery; Futures market; India; C32; G10; G13; G14; Q13;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- Q13 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Markets and Marketing; Cooperatives; Agribusiness
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