Commodity Futures Market Efficiency in India and Effect on Inflation
2006
The paper aims to study the
commodityfutures market efficiency in India and analyzing its effect on social welfare and inflation in the economy. The wheat futures market at National
Commodity& Derivatives Exchange Ltd. (NCDEX) has been studied and efficiency has been estimated through Johansen's Cointegration approach for different futures forecasting horizons ranging from one week to three months. The
commodityfutures market is not efficient even in the
short run. The social loss statistic also indicates poor
price discovery. The growth in
commodityfutures markets volumes also has a significant impact on the inflation in the economy.
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