Testing Multi Bubbles for Commodity Derivative Markets: A Study on MCX
Küçük Resim Yok
Tarih
2018
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
Due to their volatility differences, yield differences and low correlations withequity markets, metal futures are held for diversification in the international investors’portfolios. Beginning with dot.com bubble and following global crisis, the mutualmovement of equity markets caused investors to canalize alternative investmentvehicles. The study aims to investigate if there are bubbles in metal futures in The MultiCommodity Exchange of India Limited (MCX) related the period beginning from January2010 to August 2017 for copper, lead, nickel and zinc; and March 2010 to August 2017for aluminum in a weekly data range. Using Sup Augmented Dickey Fuller (SADF) andGeneralized Sup Augmented Dickey Fuller (GSADF) tests, no evidence on bubble could befound in any metal market in the used MCX sample. The precious metal markets are outof the sample because of their relatively high volatility.
Açıklama
Anahtar Kelimeler
İş, İşletme, İktisat, İşletme Finans
Kaynak
Business and Economics Research Journal
WoS Q Değeri
Scopus Q Değeri
Cilt
9
Sayı
2
