An empirical evidence of hedging effectiveness of futures contracts in commodities market

dc.contributor.author	SriRam, P.
dc.date.accessioned	2017-11-03T08:29:44Z
dc.date.available	2017-11-03T08:29:44Z
dc.date.issued	2017
dc.identifier.citation	Inspira: Journal of Modern Management & Entrepreneurship. 7(4(Version I)); 2017; 99-106.	en_US
dc.identifier.uri	http://www.inspirajournals.com/uploads/Issues/410197922.pdf
dc.identifier.uri	http://irgu.unigoa.ac.in/drs/handle/unigoa/5015
dc.description.abstract	The study uses well established methodologies to estimate the hedging efficiency of various futures contracts traded on India's largest commodity exchange-Multi Commodity Exchange of India Ltd (MCX). The focus of the research is to estimate the optimal hedge ratio and comparing the hedging effectiveness of the futures contracts i.e. hedging efficiency of the selected commodities. The study covered a period of 5 years from 2011 to 2016 and the daily spot and future prices of the commodities (gold, silver, copper and crude oil) were included.To investigate the hedge ratios and hedging effectiveness Vector Error Correction Model (VECM) is used. Such an investigation will also help in designing better hedging strategy and diversified portfolio.	en_US
dc.publisher	Inspira Research Association	en_US
dc.subject	Commerce	en_US
dc.title	An empirical evidence of hedging effectiveness of futures contracts in commodities market	en_US
dc.type	Journal article	en_US