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The Journal of Alternative Investments

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Are Commodity and Stock Markets Independent of Each Other? A Case Study in India

Y. V Reddy and A. Sebastin
The Journal of Alternative Investments Winter 2009, 11 (3) 85-99; DOI: https://doi.org/10.3905/JAI.2009.11.3.085
Y. V Reddy
is a reader in the department of commerce at Goa University in Goa, India.
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  • For correspondence: yvreddy@unigoa.ac.in
A. Sebastin
is a research scholar in the department of commerce at Goa University in Goa, India.
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  • For correspondence: masebastin@yahoo.com
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Abstract

The temporal relationship between the commodities market and the stock market has a lot of implications for not only the participants of the markets but also for the policy makers, the producers of the commodities, and, in the case of developing nations, the economy as a whole. This relationship may be studied using various methods and by identifying the lead-lag relationship between the values of representative indices of the markets. The history of the organized commodity derivatives market in India dates back to the 19th century with the establishment of the Cotton Trade Association, where cotton futures contracts were traded in 1875, barely a decade after trading in commodity derivatives started in Chicago. In this article, the dynamics of such information transfer among the commodities spot, commodities derivatives, and stock markets in India are studied, using the information theoretic concept of entropy, which captures non-linear dynamic relationships as well.

TOPICS: Commodities, security analysis and valuation, emerging, financial crises and financial market history

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Vol. 11, Issue 3
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Are Commodity and Stock Markets Independent of Each Other? A Case Study in India
Y. V Reddy, A. Sebastin
The Journal of Alternative Investments Dec 2008, 11 (3) 85-99; DOI: 10.3905/JAI.2009.11.3.085

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Are Commodity and Stock Markets Independent of Each Other? A Case Study in India
Y. V Reddy, A. Sebastin
The Journal of Alternative Investments Dec 2008, 11 (3) 85-99; DOI: 10.3905/JAI.2009.11.3.085
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  • Article
    • Abstract
    • COMMODITY DERIVATIVES AND STOCK MARKETS INTERACTIONS IN INDIA
    • IMPLICATIONS OF INTERACTIONS
    • METHODS TO STUDY THE INTERACTION
    • ENTROPIC MEASURES TO STUDY CAUSAL RELATIONSHIPS
    • DATA AND METHODOLOGY
    • EMPIRICAL RESULTS AND DISCUSSION
    • CONCLUSION
    • APPENDIX
    • ENDNOTES
    • REFERENCES
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