Authors: S. Thiyagarajan; S. Mahalakshmi; S. Kirithiga; G. Naresh
Addresses: Department of International Business, School of Management, Pondicherry University, Puducherry, 605-014, India ' Department of Commerce, School of Business, Central University of Tamil Nadu, Thiruvarur, Tamil Nadu, 610-005, India ' Department of Commerce, Shri Lakshmi College of Arts and Science, Tamil Nadu, India ' Department of Accounting and Finance, Indian Institute of Management Ranchi, Jharkhand, 834-008, India
Abstract: The major international commodity exchanges in which more trading of commodities takes place acts as price informative market apart from the producing countries market. The efficiency of national commodities market can be achieved when the market incorporates price information from these major commodity exchanges across the globe. Commodity futures market in general is said to inculcate all available information related to it from the spot market. Recently, the regulating authorities of the commodity exchanges in India have permitted 'eligible foreign entities' to participate in commodity derivatives markets for hedging their exposure. However, global entities speculate commodity prices through various commodity funds and have been considered as a popular financial investment rather than hedging (Mahalakshmi et al., 2012a). Thereby, commodity derivatives market imbibes international price information. Therefore, this paper deals with the objective of analysing the causal relationship that may exist among domestic spot, futures and overseas commodity prices.
Keywords: international commodity price; futures price; commodity market; spot price; market integration; Granger causality.
International Journal of Bonds and Derivatives, 2021 Vol.4 No.3, pp.179 - 195
Received: 09 Aug 2020
Accepted: 25 Aug 2020
Published online: 10 Aug 2021 *