Testing multi bubbles for commodity derivative markets: A study on MCX

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dc.authorid0000-0002-2506-6634
dc.contributor.authorKoy, Ayben
dc.date.accessioned2024-10-12T19:51:01Z
dc.date.available2024-10-12T19:51:01Z
dc.date.issued2018
dc.departmentİstanbul Ticaret Üniversitesi, İşletme Fakültesi, Finans ve Bankacılık Bölümüen_US
dc.description.abstractDue 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.en_US
dc.identifier.citationKoy, A. (2018). Testing Multi Bubbles for Commodity Derivative Markets: A Study on MCX. Business and Economics Research Journal, 9(2), 291-299.
dc.identifier.doi10.20409/berj.2018.105
dc.identifier.endpage299en_US
dc.identifier.issn2619-9491
dc.identifier.issue2en_US
dc.identifier.startpage291en_US
dc.identifier.trdizinid318534en_US
dc.identifier.urihttps://doi.org/10.20409/berj.2018.105
dc.identifier.urihttps://search.trdizin.gov.tr/tr/yayin/detay/318534
dc.identifier.urihttps://hdl.handle.net/11467/8905
dc.identifier.volume9en_US
dc.indekslendigikaynakTR-Dizinen_US
dc.language.isoenen_US
dc.relation.ispartofBusiness and Economics Research Journalen_US
dc.relation.publicationcategoryMakale - Ulusal Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectBubbleen_US]
dc.subjectCommodity Marketen_US]
dc.subjectMetal Marketen_US]
dc.subjectSADFen_US]
dc.subjectGSADF
dc.titleTesting multi bubbles for commodity derivative markets: A study on MCXen_US
dc.typeArticleen_US

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