Title: Causal relationship between commodity and currency futures for the South Asian nations

Authors: Tarika Singh Sikarwar; Monika Gupta; Supriya Agarwal; Tanvi Saxena

Addresses: Prestige Institute of Management, Opposite DD Nagar, Airport Road, Gwalior (M.P.), India ' Prestige Institute of Management, Opposite DD Nagar, Airport Road, Gwalior (M.P.), India ' Prestige Institute of Management, Opposite DD Nagar, Airport Road, Gwalior (M.P.), India ' Prestige Institute of Management, Opposite DD Nagar, Airport Road, Gwalior (M.P.), India

Abstract: The current study is done with an objective of finding the connection between currency and commodity futures for South Asian nations (Afghanistan, Bangladesh, Bhutan, British India, India, Maldives, Nepal and Sri Lanka). The research was done on the basis of secondary data taken from different sources for commodity and currency exchanges. Cointegration and Granger cause connection between the commodity and currency market for these nations have been checked. The results indicate the presence of this connection for a few nations only. The research adds on to the existing literature.

Keywords: commodity futures; currency futures; Granger causation; cointegration.

DOI: 10.1504/IJCA.2020.112860

International Journal of Critical Accounting, 2020 Vol.11 No.6, pp.449 - 472

Received: 12 Feb 2020
Accepted: 18 May 2020
Published online: 07 Feb 2021 *

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