Commodity Futures Market Efficiency in India and Effect on Inflation

10 Pages Posted: 5 Dec 2006

See all articles by Gurpreet S. Sahi

Gurpreet S. Sahi

Indian Institute of Management (IIM), Lucknow

Gaurav Raizada

iRage Capital; Axis Bank; Indian Institute of Management, Lucknow; Indian Institute of Technology (IIT), Kanpur

Abstract

The paper aims to study the commodity futures market efficiency in India and analyzing its effect on social welfare and inflation in the economy. The wheat futures market at National Commodity & Derivatives Exchange Ltd. (NCDEX) has been studied and efficiency has been estimated through Johansen's Cointegration approach for different futures forecasting horizons ranging from one week to three months. The commodity futures market is not efficient even in the short run. The social loss statistic also indicates poor price discovery. The growth in commodity futures markets volumes also has a significant impact on the inflation in the economy.

Suggested Citation

Sahi, Gurpreet S. and Raizada, Gaurav, Commodity Futures Market Efficiency in India and Effect on Inflation. Available at SSRN: https://ssrn.com/abstract=949161 or http://dx.doi.org/10.2139/ssrn.949161

Gurpreet S. Sahi (Contact Author)

Indian Institute of Management (IIM), Lucknow ( email )

Prabandh Nagar
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Lucknow, Uttar Pradesh 226013
India

Gaurav Raizada

iRage Capital ( email )

Brabourne Road
Kolkata, West bengal 700001
India

Axis Bank ( email )

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Mumbai, 400005
India

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Indian Institute of Management, Lucknow ( email )

Prabandh Nagar
Off Sitapur Road
Lucknow, Uttar Pradesh 226013
India

Indian Institute of Technology (IIT), Kanpur ( email )

Kharagpur
Kanpur, Uttar Pradesh 208016
India

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