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Dergiler / Business and Economics Research Journal / 2018 / Cilt: 9 - Sayı: 2

Testing Multi Bubbles for Commodity Derivative Markets: A Study on MCX

AYBEN KOY
Sayfa
291–299
DOI
—
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⚡ TL;DR(1 Cümlede Hızlı Çıkarım)

The precious metal markets are outof the sample because of their relatively high volatility.

📌 3 Maddede Bu Makale

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Amaç & Hipotez:Due to their volatility differences, yield differences and low correlations withequity markets, metal futures are held for diversification in the international investors’portfolios.
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Temel Bulgular & Veri:The study aims to investigate if there are bubbles in metal futures in The MultiCommodity Exchange of India Limited (MCX) related the period beginning from January2010 to August 2017 for copper, lead, nickel and zinc; and March 2010 to August 2017for aluminum in a weekly data range.
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Sonuç & Katkı:The precious metal markets are outof the sample because of their relatively high volatility.
🔬Tür:Araştırma Makalesi
📍Kapsam:2017 Verileri
⚙️Değişkenler:Alan Parametreleri

Özet

Due to their volatility differences, yield differences and low correlations withequity markets, metal futures are held for diversification in the international investors’portfolios. Beginning with dot.com bubble and following global crisis, the mutualmovement of equity markets caused investors to canalize alternative investmentvehicles. The study aims to investigate if there are bubbles in metal futures in The MultiCommodity Exchange of India Limited (MCX) related the period beginning from January2010 to August 2017 for copper, lead, nickel and zinc; and March 2010 to August 2017for aluminum in a weekly data range. Using Sup Augmented Dickey Fuller (SADF) andGeneralized Sup Augmented Dickey Fuller (GSADF) tests, no evidence on bubble could befound in any metal market in the used MCX sample. The precious metal markets are outof the sample because of their relatively high volatility.

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Bu Makaleye Atıf Yap

KOY, A. (2018). Testing Multi Bubbles for Commodity Derivative Markets: A Study on MCX. Business and Economics Research Journal, Cilt: 9 - Sayı: 2, 291–299. https://ajindex.com/articles/352154

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Kaynakça (11)

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