Title: Does inclusion of agriculture futures contracts provide enough portfolio diversification? Evidences from India
Authors: Shriram Anil Purankar; Vipul Kumar Singh
Addresses: Jaypee Business School, Jaypee Institute of Information Technology University, A-10, Sector 62, Noida 201307, India ' National Institute of Industrial Engineering (NITIE), (Under Ministry of HRD, Govt. of India), Vihar Lake, Mumbai 400087, India
Abstract: The paper explores the time series dynamics of future contracts for agriculture commodities traded on commodity exchanges. The paper attempts to find out whether the inclusion of agriculture commodity futures contracts can provide higher degree of portfolio diversification. For this, the paper focuses on the causality and long run co-integration dynamics of most active agriculture future contracts of MCX and NCDEX. To test the all-round applicability of agriculture futures contracts, the paper focuses on the existence of the short and long-term relationship, if any, among these specific categories of commodities with the traditional asset-class like crude oil prices, USDINR exchange rates, and Nifty 50 index. Econometric techniques like Granger causality, Johnson co-integration and VECM model have been used.
Keywords: agriculture; crude oil; Johnson co-integration; MCX; NCDEX; Nifty; VECM.
International Journal of Management Practice, 2017 Vol.10 No.4, pp.422 - 444
Received: 23 May 2016
Accepted: 17 Nov 2016
Published online: 02 Oct 2017 *