Title: Copulas and dependence structures: evidences from India's and Asian rubber futures markets

Authors: Debasish Maitra; Kushankur Dey

Addresses: Institute of Management Technology, Ghaziabad, India ' Centre for Management in Agriculture (CMA), Indian Institute of Management, Wing- 15J, Main Block, Vastrapur, Ahmedabad 380 015, Gujarat, India

Abstract: This paper attempts to model the dependence structures of India's and Asian natural rubber futures (derivatives) markets. Though copula-based literature in commodity markets appears to be limited, it can capture non-linearity unlike simple correlation measures, and thus, the former can estimate magnitude of dependence adequately. This study considers exchange-level futures price across NMCE (India), SHFE (China), TOCOM (Japan) and AFET (Thailand) from July 2006 to April 2010. Analysis shows that relatively a high degree of dependence has been observed between India's and China's markets in comparison to other markets. This paper sheds light on the dominant role of copulas for attaining the methodological congruence of dependence-structure modelling.

Keywords: copulas; dependence structures; India; Asia; rubber futures; futures markets; derivatives; commodity markets; modelling.

DOI: 10.1504/IJFMD.2014.062380

International Journal of Financial Markets and Derivatives, 2014 Vol.3 No.4, pp.322 - 357

Available online: 04 Jun 2014 *

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