A Study of the Efficiency and Unbiasedness in NCDEX: A Case Study of Guar Gum
Keywords:
Cointegration
, Market Efficiency, Futures Market, Guar GumC14
, C32, G14Paper Submission Date
, January 13, 2013, Paper sent back for Revision, April 29, Paper Acceptance Date, August 1, 2013.Abstract
The paper aims to study the market efficiency and unbiasedness among guar gum futures contracts traded at the National Commodity&Derivatives Exchange Ltd. (NCDEX). The study has tested the market efficiency and unbiasedness with different maturities using cointegration analysis, and short-term market efficiency, using an error correction model and GARCH-M-ECM. The results suggest that the futures market for guar gum is inefficient in both short run and long run for all maturity periods, which may be caused by over-speculation or market manipulation. The results indicate an urgent need to provide more powers to FMC to regulate the market and penalize any insider trading, cartelization, and price manipulations.Downloads
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