Castor seeds Futures: NCDEX and NMCE

This paper investigates the relationship between the castor seed futures of National Commodity and Derivatives Exchange (NCDEX) and National Multi Commodity Exchange (NMCE). The castor seed future prices of near-month contracts over a period of 5 years from September 2009 to August 2014 were collect...

Full description

Saved in:
Bibliographic Details
Published in:SCMS journal of Indian management 2014-10, Vol.11 (4), p.38
Main Authors: Kirithiga, S, Azhagaiah, R
Format: Article
Language:English
Subjects:
Agricultural commodities
Barley
Causality
Cocoa
Coffee
Commodity futures
Commodity markets
Commodity prices
Cotton
Crude oil
Crude oil prices
Derivatives
Error correction & detection
Foreign exchange rates
Futures market
Futures trading
Hedging
Market prices
Options markets
Soybeans
Spread
Studies
Volatility
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:This paper investigates the relationship between the castor seed futures of National Commodity and Derivatives Exchange (NCDEX) and National Multi Commodity Exchange (NMCE). The castor seed future prices of near-month contracts over a period of 5 years from September 2009 to August 2014 were collected from NCDEX and NMCE websites. The study applied correlation and error correction model (ECM) for analysis and the study result shows that there exists a long-run as well as short-run co-integration between the castor seed future prices in NCDEX and NMCE, proving that there is an arbitrageur or cross-hedging possibility between the two commodity exchanges in respect of castor seed futures in India.
ISSN:0973-3167