The present work is specifically directed to examine the volatility spillover mechanism in Indian commodity derivatives market. It has especially focused on comparing the agricultural and metal commodity segment by considering five agri-commodities and five metal commodities. The study period taken is 2010–2015 for understanding the mechanism between the spot and the futures commodity markets. Generalized impulse response function is mainly used to check the magnitude of volatility spill, pattern of volatility and lead–lag relationship. The result shows metal commodities are more prominent and investment worthy than agricultural commodities.
Abdul KarimB., & Shabri AbdM. (2010). Does trade matter for stock market integration?Studies in Economics and Finance, 27(1), 47–66.
2.
BabatundeM. A., AdenikinjuO., & AdenikinjuA. F. (2013). Oil price shocks and stock market behavior in Nigeria. Journal of Economic Studies, 40(2), 180–202.
3.
De BoyrieM. E., PavlovaI., & ParhizgariA. M. (2012). Price discovery in currency markets: Evidence from three emerging markets. International Journal of Economics and Finance, 4(12), 61–75.
4.
EdwardA. J., & RaoN. T. V. (2013). Price discovery process and volatility spillover of chilli spot and futures prices: Evidence from National Commodities and Derivatives Exchange Ltd (NCDEX). International Journal of Engineering and Management Research, 3(12), 1–23.
5.
EngleR.F., & GrangerC.W.J. (1987). Co-integration and error correction: Representation, estimation and testing. Econometrica, 55(2), 251–276.
6.
GreeneW. A. (2012). Econometric analysis (7th edn.). Harlow: Pearson.
7.
GregoryK., & MichaelT. (1996). Temporal relationship and dynamic interaction between spot and futures market. Journal of Futures Markets, 16(2), 55–69.
8.
GriebT. (2015). Mean and volatility transmission for commodity futures. J Economics and Finance, 39(1), 100–118.
9.
GuptaS., ChoudharyH., & AgarwalD. R. (2017). Hedging efficiency of Indian commodity futures: An empirical analysis. Paradigm, 21(1), 1–20.
10.
JohansenS.1996, Likelihood-based inference in cointegrated vector autoregressive models (2nd ed.). Oxford: Oxford University Press.
11.
JohansenS., & JuseliusK. (1990). Maximum likelihood estimation and inference on cointegration with applications to demand for money. Oxford Bulletin of Economics and Statistics, 5(2), 169–210.
12.
KapilS., & KapilK.N. (2010). Commodity trading advisors (CTAs) for the Indian commodity market,International Journal of Emerging Markets, 5(2), 124–137.
13.
KarmakarM. (2009). Modeling conditional volatility of the Indian stock markets. Vikalpa, 30(3), 21–37.
14.
KholdyS., & SohrabianA. (2014). Noise traders and the rational investors: A comparison of the 1990s and the 2000s. Journal of Economic Studies, 41(6), 849–862.
15.
KimS., LeeS., & KimJ. (2011). Relationship between the financial crisis of Korean construction firms and macroeconomic fluctuations. Engineering, Construction and Architectural Management, 18(4), 407–422.
16.
KingM.A., & WadhwaniS. (1990). Transmission of volati-lity spillover between stock market. The Review of Financial Studies, 3(1), 5–13.
17.
KoutmosG., & TuckerM. (1996). Temporal relationships and dynamic interactions between spot and futures stock markets. Journal of Futures Markets, 16, 55–69.
18.
KrishnamurtiC., SevicA., & SevicZ. (2005). Market microstructure study on seven US stock exchanges: Panel vs. VAR methodology. Managerial Finance, 31(12), 58–78.
19.
KumarM. A. & ShollapurM. R. (2015). Price discovery and volatility spillover in the agricultural commodity futures market in India. The IUP Journal of Applied Finance, 21(1), 54–71.
20.
Kumar & Sunil (2004). Price discovery and market efficiency: Evidence from agricultural commodities futures markets. South Asian Journal of Management, 11(2), 32–47.
21.
MacKinnonJ. G., HaugA. A., & MichelisL. (1999). Numerical distribution functions of likelihood ratio tests for cointegration. Journal of Applied Econometrics, 14, 563–577.
22.
MahalikM. K. (2014). Price discovery and volatility spill-overs in futures and spot commodity markets: some Indian evidence. Journal of Advances in Management Research, 11(2), 211–226.
23.
MagnusJ. R., & NeudeckerH. (1988). Matrix differential calculus with applications in statistics and econometrics. Chichester: Wiley.
24.
MaitraD., & DeyK. (2011). Volatility and spillover effect in Indian commodity markets: A case of pepper. Studies in Business and Economics, 6(3), 119–145.
25.
MalhotraM. (2015). Evaluating the hedging performance of oil and oilseeds futures in India. Paradigm, 19(2), 184–196.
26.
MitraP. K. (2017). Dynamics of volatility spillover between the Indian stock market and foreign exchange market return. Academy of Accounting and Financial Studies Journal, 21(2), 1–12.
27.
NasirM. A., AhmadM., AhmadF., & WuJ. (2015). Financial and economic stability as ‘two sides of a coin’: Non-crisis regime evidence from the UK based on VECM. Journal of Financial Economic Policy, 7(4), 327–353.
28.
PandaP., & DeoM. (2014). Asymmetric cross-market volatility spillovers: evidence from Indian equity and foreign exchange markets. Decision, 41(3), 261–270.
29.
ParuoloP. (1997). Asymptotic inference on the moving average impact matrix in cointegrated I(1) systems. Econometric Theory, 13(1), 79–118.
30.
PesaranM. H., & ShinY. (1998). Generalized impulse response analysis in linear multivariate models. Economics Letters, 5(8), 17–29.
31.
RoblesM., ToreroM., & Von BarunJ. (2009). When speculation matters (Issue Brief No. 57). Washington, DC: IFPRI.
32.
SahooP., & KumarR. (2009). Efficiency and futures trading-price nexus in Indian commodity futures market. Global Business Review, 10(2), 187–201.
33.
SaranyaV. P. (2015). Volatility and price discovery process of Indian spot and futures market for non-agricultural commodities. International Journal in Management and Social Science, 3(3), 346–354.
34.
SehgalS., AhmadW. & DeistingF. (2015). An investigation of price discovery and volatility spillovers in Indian foreign exchange market. Journal of Economic Studies, 42(2), 261–284.
35.
SendhilR., KarA., MathurV. C., & JhaG. K. (2013). Price discovery, transmission and volatility: Evidence from agricultural commodity futures. Agricultural Economics Research Review, 26(1), 41–54.
36.
SheebaK., & NayanK. K. (2010). Commodity trading advisors for the Indian commodity market. International Journal of Emerging Markets, 5(2), 124–137.
37.
SinghP., KumarA., & DeepakC. A. (2015). Volatility spillover across major equity markets: A critical review of literature. International Journal of Research in Commerce & Management, 6(4), 68–73.
38.
SinghA., & SinghN. P. (2015). Testing seasonality and efficiency in chana futures market. Apeejay Business Review, 14(2), 5–15.
39.
SrinivasanP. (2011). Price discovery and volatility spillovers in Indian spot-futures commodity market. The IUP Journal of Behavioral Finance, 9(1), 70–85.
40.
VardhanH., SinhaH., & VijM. (2015). Behavior of Indian sectoral stock price indices in the post subprime crisis period. Journal of Advances in Management Research, 12(1), 15–29.
41.
WarneA. (2008, February27). Generalized impulse responses. Retrieved from http://www.texlips.net/download/generalized-impulse-response.pdf
