Market efficiency and information content of Indian commodity futures markets
by Vikas Pandey; Vipul
International Journal of Indian Culture and Business Management (IJICBM), Vol. 14, No. 3, 2017

Abstract: This article examines the efficiency of pricing of eight commodity futures traded at Multi Commodity Exchange (MCX) and National Commodity & Derivative Exchange (NCDEX) of India. We find that the current futures prices and the expiration-day spot prices are generally cointegrated, and exhibit market efficiency. We also find evidence of predictive content in the futures prices for the future spot prices. This content varies among different commodities, and is more significant for the natural gas and agricultural commodities, which have higher storage and transportation costs. The risk premium is absent in the futures prices of most of our commodities, excepting two agricultural commodities and nickel.

Online publication date: Wed, 22-Mar-2017

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