Economics, Econometrics and Finance
5 years ago

Indian Commodity Futures Show High Volatility Impacting Traders and Markets

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Asian Journal of Research in Banking and Finance
Volatility Characteristics of Indian Commodity Futures: An Empirical Analysis of MCX Indices
Shashi Gupta, Himanshu Choudhary, Divya Aggarwal

Paper Summary

The article examines the volatility of Indian Commodity Futures, focusing on MCX Indices like COMDEX, METAL, ENERGY, and AGRI from 2005 to 2014. The study reveals that all MCX indices show persistence and mean reversion. ENERGYF has the highest volatility, taking 309 days to return to its average level. Negative news impacts COMDEX and ENERGY, while positive news affects AGRI and METAL. Traders and policymakers can benefit from understanding these market behaviors.

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