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DC Field | Value | Language |
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dc.contributor.author | Garg, Mohit | - |
dc.contributor.author | Singhal, Shelly | - |
dc.contributor.author | Sood, Kiran | - |
dc.contributor.author | Rupeika-Apoga, Ramona | - |
dc.contributor.author | Grima, Simon | - |
dc.date.accessioned | 2023-09-26T06:38:18Z | - |
dc.date.available | 2023-09-26T06:38:18Z | - |
dc.date.issued | 2023 | - |
dc.identifier.citation | Garg, M., Singhal, S., Sood, K., Rupeika-Apoga, R., & Grima, S. (2023). Price Discovery Mechanism and Volatility Spillover between National Agriculture Market and National Commodity and Derivatives Exchange: The Study of the Indian Agricultural Commodity Market. Journal of Risk and Financial Management, 16(2), 62. | en_GB |
dc.identifier.uri | https://www.um.edu.mt/library/oar/handle/123456789/113291 | - |
dc.description.abstract | Agricultural commodity markets are critical to the global economy. This study investigates the price discovery mechanism, lead-lag relationship, and volatility spillover between spot prices on the National Agriculture Market (E-NAM) and futures and spot prices on the National Commodity and Derivative Exchange (NCDEX) in the Indian agricultural commodity market. The Johansen Cointegration, Vector Error Correction (VEC), Granger causality tests, and bivariate GARCH models were applied to daily data from April 2016 to December 2020 for twelve agricultural commodities traded on the E-NAM and NCDEX. We discovered the long-run relationship using the Johansen Cointegration test and concluded that the NCDEX spot and futures market is dominant in the price discovery mechanism, and the NCDEX futures and spot markets lead the E-NAM spot prices having a unidirectional or bidirectional relationship. Furthermore, the bivariate GARCH model suggested a volatility spillover from E-NAM spot prices to NCDEX futures and spot markets for most commodities, except for bajra, barley, and jeera, which have no volatility spillover. The study’s findings have important implications for various stakeholders, including policymakers, farmers, investors, traders, and others who want to reduce price risks by using information from the E-NAM market’s spot prices. | en_GB |
dc.language.iso | en | en_GB |
dc.publisher | MDPI AG | en_GB |
dc.rights | info:eu-repo/semantics/openAccess | en_GB |
dc.subject | Agricultural prices -- India -- Forecasting | en_GB |
dc.subject | Farm produce -- India -- Marketing | en_GB |
dc.subject | Agricultural prices -- India -- Risk management | en_GB |
dc.subject | Commodity exchanges -- India | en_GB |
dc.subject | Agricultural prices --India -- Mathematical models | en_GB |
dc.title | Price discovery mechanism and volatility spillover between national agriculture market and national commodity and derivatives exchange : the study of the Indian agricultural commodity market | en_GB |
dc.type | article | en_GB |
dc.rights.holder | The copyright of this work belongs to the author(s)/publisher. The rights of this work are as defined by the appropriate Copyright Legislation or as modified by any successive legislation. Users may access this work and can make use of the information contained in accordance with the Copyright Legislation provided that the author must be properly acknowledged. Further distribution or reproduction in any format is prohibited without the prior permission of the copyright holder. | en_GB |
dc.description.reviewed | peer-reviewed | en_GB |
dc.identifier.doi | 10.3390/jrfm16020062 | - |
dc.publication.title | Journal of Risk and Financial Management | en_GB |
Appears in Collections: | Scholarly Works - FacEMAIns |
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Price discovery mechanism and volatility spillover between national agriculture market and national commodity and derivatives exchange 2023.pdf | 910.77 kB | Adobe PDF | View/Open |
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