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首页> 外文期刊>Journal of Financial Economic Policy >The investigation of destabilization effect in India's agriculture commodity futures market: An alternative viewpoint
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The investigation of destabilization effect in India's agriculture commodity futures market: An alternative viewpoint

机译：印度农产品期货市场的不稳定影响研究：另一种观点

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Purpose - This paper aims to examine the destabilization effect in the case of India's agricultural commodity market for the sample period of 01 January 2009 to 31 May 2013. Design/methodology/approach - The daily data of eight agricultural commodities traded on the National Commodity & Derivatives Exchange, viz., barley, castor seed, chana (chickpea), chilli, potato, pepper, refined soya and soybean, have been used in this study. At the first stage of the empirical analysis, the study estimates the time-varying spot market volatility by using the exponential generalized autoregressive conditional heteroscedasticity model and applies three different high and band-pass filters, viz., the two-sided linear band-pass filter by Hodrick and Prescott (1997), the fixed-length symmetric band-pass filter by Baxter and King (1999) and the asymmetric band-pass filter by Christiano and Fitzgerald (2003), to calculate the unexpected liquidity of sample commodities. At the second stage of the empirical analysis, the study applies linear Granger causality and recently developed non-linear causality given by Diks and Panchenko (2006) to examine the cause and effect between time-varying volatility of spot market and futures market liquidity of sample commodities. Findings - The linear and non-linear causality results suggest the destabilizing effect of commodity futures on the underlying spot market for chana, chilli and pepper. The empirical findings are in contrast with the recommendations of Abhijit Sen's committee and provide important direction for further policy research. Research limitations/implications - The study has a limitation in that it is based on the daily data. The use of intra-day data would have been more suitable for such type of analysis. Practical implications - The study has strong policy implications from a financial policy perspective, as there is already disagreement among researchers and policy makers with regard to the functioning of commodity derivatives markets in India. There have been many occasions when commodity market regulators have to undertake decisions of suspension of trading of many commodities. The study also provides new directions of policy research with regards to the restructuring of the commodity derivatives market in India. Social implications - The findings of this study may further help the regulators and policy makers to undertake decisions about how to provide an alternative platform for fanners to sell their agricultural produce more efficiently. This will certainly have some impact on the socioeconomic set-up of the country, as India is primarily an agriculture-dominated country. Originality/value - So far not many studies have investigated the destabilization hypothesis in the case of emerging markets. This study is a novel attempt to fill the gap. In the case of emerging markets and especially in the case of India's commodity derivatives market, this is the first study that examines the destabilization hypothesis in the case of India by applying new methods of high and band-pass filters and non-linear causality.
机译：目的-本文旨在研究样本为2009年1月1日至2013年5月31日的印度农产品市场对稳定的影响。设计/方法/方法-八种农产品在国家商品和交易所交易的每日数据这项研究中使用了衍生产品交易所，即大麦，蓖麻籽，栗（鹰嘴豆），辣椒，马铃薯，胡椒，精制大豆和大豆。在经验分析的第一阶段，该研究通过使用指数广义自回归条件异方差模型来估计随时间变化的现货市场波动，并应用了三种不同的高通和带通滤波器，即两侧线性带通Hodrick和Prescott（1997）的滤波器，Baxter和King（1999）的固定长度对称带通滤波器以及Christiano和Fitzgerald（2003）的非对称带通滤波器计算样本商品的意外流动性。在实证分析的第二阶段，本研究应用线性格兰杰因果关系和Diks和Panchenko（2006）给出的最近发展的非线性因果关系，检验了现货市场随时间变化的波动性与样本期货市场流动性之间的因果关系。商品。调查结果-线性和非线性因果关系结果表明，商品期货对长春，辣椒和胡椒现货市场的稳定作用。实证结果与阿比吉特·森（Abhijit Sen）委员会的建议相反，并为进一步的政策研究提供了重要的方向。研究局限性/含义-该研究有局限性，因为它基于每日数据。使用日内数据将更适合此类分析。实际意义-从金融政策角度看，该研究具有强烈的政策意义，因为研究人员和决策者之间在印度商品衍生品市场的运作方面已存在分歧。在许多情况下，商品市场监管者必须做出暂停许多商品交易的决定。该研究还提供了有关印度商品衍生品市场重组的政策研究新方向。社会影响-这项研究的结果可能会进一步帮助监管机构和政策制定者做出有关如何为爱好者提供更有效销售农产品的替代平台的决策。由于印度主要是农业为主的国家，因此这肯定会对该国的社会经济结构产生一定的影响。原创性/价值-到目前为止，在新兴市场中，很少有研究调查破坏稳定的假设。这项研究是填补空白的新颖尝试。对于新兴市场，尤其是印度的商品衍生品市场，这是首次研究通过应用高通带通滤波器和非线性因果关系的新方法来检验印度案例中的不稳定假设。

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