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- W4327603961 abstract "The article is an attempt to evaluate the price discovery functions and hedging effectiveness of the aluminum futures market in India. The article identifies the influential direction of price discovery and hedging effectiveness of the aluminum futures market of India. It has especially focused on the aluminum futures market of India for a period ranging from 2013 to 2020. Augmented Dicky-fuller test, PP test, Cointegration test, exogeneity Wald test, Wald co-efficient test, Granger causality test, variance decomposition and minimum variance hedge ratio are employed to achieve the objective of the study. The study finds a bi-directional causality effect between aluminum’s cash and the futures market. Therefore, the Spot and futures markets of aluminum influence each other in the price discovery. The findings of variance decomposition suggest that the futures market of aluminum implies weak exogenoity on spot. Similarly, futures prices reflect strong endogeneity. The hedge ratio of sub-sample and full sample period indicates that there is a lack of hedging effectiveness of aluminum futures. The study will help the hedgers to decide the number of futures positions they need to take to manage their spot exposure. It will help the futures market regulators to examine the stability of the market and other participants to design hedging and arbitrage strategies." @default.
- W4327603961 created "2023-03-17" @default.
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- W4327603961 date "2023-03-16" @default.
- W4327603961 modified "2023-10-18" @default.
- W4327603961 title "Hedging Effectiveness and Influential Direction Between Spot and Futures Market of Aluminium: An Evidence from India" @default.
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- W4327603961 doi "https://doi.org/10.1177/22785337221148537" @default.
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