Corpus ID: 151142087

Hedging Efficiency of Commodity Futures Markets in India

@inproceedings{Yaganti2012HedgingEO,
  title={Hedging Efficiency of Commodity Futures Markets in India},
  author={C. Hussain Yaganti and Bandi Kamaiah},
  year={2012}
}
  • C. Hussain Yaganti, Bandi Kamaiah
  • Published 2012
  • Economics
  • The present study investigates the hedging effectiveness of commodity futures contracts for spices and base metals by employing cointegration and error correction methodology with different maturity time horizons varying from one month to three months, i.e., maturity month, nearby month and far month. The optimal hedge ratios are calculated from Ordinary Least Squares (OLS) regression and Error Correction Model (ECM). It is found that the futures market dominates in price discovery in nearby… CONTINUE READING

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