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- W1487666538 abstract "In this paper we perform the test of random walk for Indian Commodity Market. Spot price data is used for thirteen commodities from 2006-2011.We find that daily commodity returns are not normally distributed and exhibit short term serial dependence which can be exploited by technical traders. Commodity return parameters such as mean returns and volatility do not vary significantly across commodity classes i.e. agriculture, metal and energy. Further commodity return characteristics are sensitive to observation frequency and tend to follow a random walk on monthly observation hence commodity traders, investors and researchers shall find more appropriate to work on low frequency data. The study contributes to both market efficiency and alternate Asset literature of emerging markets." @default.
- W1487666538 created "2016-06-24" @default.
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- W1487666538 date "2012-01-06" @default.
- W1487666538 modified "2023-09-23" @default.
- W1487666538 title "Test of Pricing Efficiency and Distributional Properties: Indian Commodity Market" @default.
- W1487666538 hasPublicationYear "2012" @default.
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