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A study on the behaviour of volatility of the indian commodity market

Author: 
Ranajit Chakraborty and Rahuldeb Das
Subject Area: 
Social Sciences and Humanities
Abstract: 

The objective of this study was to examine the behaviour of volatility in the Indian commodity market after the introduction of derivative trading in the national level commodity exchanges. Researchers around the world revealed the behaviour of volatility in different commodity markets, but none of them studied the Indian commodity market extensively in this aspect. From 2004 to 2012, this 9 year period was chosen as the period of study. The agricultural commodity index MCXAGRI, some of the agricultural commodities, namely Barley, Chickpea, Chilli, Cumin, Maize, Mustard Seed, Pepper and some non-agricultural commodities namely Brent Crude Oil and Gold were involved in the analysis of volatility. Using entropy as a measure of volatility, it was observed that for most of the commodities spot and futures prices volatility behave in a similar manner. However, there were exceptions for some commodities. No trend of volatility was observed for most of the commodities in Indian market. Additionally, with few exceptions, the difference between average volatility of the spot and futures prices was insignificant. Furthermore, patterns of change of volatility over the quarters was similar in the spot and the futures markets.

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