Arbitrage opportunity in India's agricultural commodities ...
Arbitrage opportunity in India's agricultural commodities derivatives market (by Susan Thomas)
Abstract:
We examine the behaviour of spot-vs.-futures prices of a few agricultural commodities after the recent institutional reforms on the commodity derivatives markets. In particular, we examine the markets for guar seed, jeera, channa, wheat and pepper from the viewpoint of asking how well the futures markets can be used to hedge spot price volatility. We find that liquidity and institutional constraints are significant factors in how well hedging using the futures contracts can be done.
Profile of the Speaker:
Susan Thomas is Assistant Prof. at Indira Gandhi Institute of Development Research, Mumbai. She works in the area of financial markets in India, with a focus on the econometrics of price efficiency and volatility analysis.
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