| Pub. Date | : Jan, 2019 |
|---|---|
| Product Name | : The IUP Journal of Applied Economics |
| Product Type | : Article |
| Product Code | : IJAE21901 |
| Author Name | : Rakesh Shahani, Udhav Sarin and Madhav Malhotra |
| Availability | : YES |
| Subject/Domain | : Economics |
| Download Format | : PDF Format |
| No. of Pages | : 15 |
The present study makes an attempt to examine the inter-relationship between the movement of the independent indices of the Multi Commodity Exchange of India (MCX), viz., MCX Agri, MCX Metal and MCX Energy. To study the above relation, the monthly returns for these indices were considered for the period June 2006- March 2017. Econometric tools like Augmented Dickey-Fuller (ADF) and Kwiatkowski- Phillips-Schmidt-Shin (KPSS) test of stationarity, Johansen cointegration test, VAR with optimal lag length criteria and Toda and Yamamoto (1995) causality test were used for the purpose of the study. All the variables were found to be stochastic stationary at first difference as revealed by ADF and KPSS tests results. The VAR model was found to be stable as per AR characteristic roots. The results of the study reveal that none of the variables were cointegrated, except MCX Agri which was impacting MCX Metal. However, Toda and Yamamoto (1995) causality test results show unidirectional causality from MCX Agri to MCX Metal.
Inter-linkages and comovement amongst the financial markets has been one of the most highly researched areas in the field of finance. The inter-linkages which have been empirically investigated by most researchers mainly include between two or more financial markets within any particular segment, e.g., movement of stock indices of any two countries or comovement between two separate markets, e.g., currency and stock markets, stock markets on commodities markets (gold, oil, etc.) or these can also be the spillover effects of one market on another, e.g., spillover of volatility from crude to stock market. On the other hand, linkages between different sectors which constitute any single market has been relatively less explored and the commodities market is no exception.