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Volatility Spillover Effect in Commodity Derivatives Market: Empirical Evidence Through Generalized Impulse Response Function

Author

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  • Bhabani Sankar Rout
  • Nupur Moni Das
  • K. Chandrasekhara Rao

Abstract

The present work is specifically directed to examine the volatility spillover mechanism in Indian commodity derivatives market. It has especially focused on comparing the agricultural and metal commodity segment by considering five agri-commodities and five metal commodities. The study period taken is 2010–2015 for understanding the mechanism between the spot and the futures commodity markets. Generalized impulse response function is mainly used to check the magnitude of volatility spill, pattern of volatility and lead–lag relationship. The result shows metal commodities are more prominent and investment worthy than agricultural commodities.

Suggested Citation

  • 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.
    • Handle: RePEc:sae:vision:v:23:y:2019:i:4:p:374-396
    DOI: 10.1177/0972262919850916
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    References listed on IDEAS

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    Cited by:

    1. Nupur Moni Das & Bhabani Sankar Rout, 2024. "Equity Price Risk of Commercial Banks in India," Arthaniti: Journal of Economic Theory and Practice, , vol. 23(2), pages 179-201, December.
    2. Ruchika Kaura & Namita Rajput, 2024. "Future–Spot Relationship in Commodity Market: A Comparison Across Commodity Segments in India," Global Business Review, International Management Institute, vol. 25(5), pages 1314-1335, October.

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