Title: Volatility spillovers and nexus among agridex and non-agri indexes in Indian commodity markets

Authors: P. Lakshminarasa Reddy; S. Visalakshmi

Addresses: Department of Management, Central University of Tamil Nadu, Tamil Nadu, India ' Department of Management, Central University of Tamil Nadu, Tamil Nadu, India

Abstract: Commodity market indexes are the key indicator of important market information and sentiment, which helps investors to make sound investment decisions. Commodity derivatives were initially intended to protect farmers from low or high crop risk and generating short term profits. The purpose of this study is to investigate the volatility spillover effects and nexus between the agridex and non-agri indexes in India using daily data of AGRI and non-agri indexes returns spanning from April 2016 to November 2021 by employing Johansen co-integration test, ARCH, and GARCH models. The results exhibited the non-existence of long run relationship between AGRI and non-agri indexes. Further, the analysis provides the evidence of volatility spillover across the indexes.

Keywords: agridex; non-agri indexes; volatility spillover; co-integration; ARCH; GARCH.

DOI: 10.1504/IJSEM.2024.138346

International Journal of Services, Economics and Management, 2024 Vol.15 No.3, pp.324 - 341

Received: 25 Jun 2022
Accepted: 17 Mar 2023
Published online: 01 May 2024 *

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