商品期货市场表现的决定因素:印度视角

South Asia Economic Journal Pub Date : 2020-09-01 DOI:10.1177/1391561420970837

Priti Dubey, R. Shankar

{"title":"商品期货市场表现的决定因素:印度视角","authors":"Priti Dubey, R. Shankar","doi":"10.1177/1391561420970837","DOIUrl":null,"url":null,"abstract":"This article aims to find out interlinkages between equity and commodity markets through the channel of investors’ outlook in the equity market. The proxies used for gauging perception of investors are investor sentiment index and Advance–Decline ratio. The study also incorporates the introduction of Commodity Transaction Tax (CTT) and occurrence of National Spot Exchange Limited (NSEL) scam in the year 2013. Additionally, returns in commodity market are examined to be a function of equity returns. The empirical findings suggest that the liquidity of commodity futures is inversely related to investor sentiments in equity market, and commodity returns are also negatively related to equity returns. Therefore, equity and commodity markets are inversely related, as liquidity in both the markets reacts to the investor sentiments; contrarily, commodity returns experience a significantly negative impact from equity returns. Additionally, the results also provide evidence that investor sentiment in equity possesses the ability to predict liquidity in the commodity futures market. The study also suggests that the CTT and NSEL scam have significantly and positively affected the liquidity of the Indian commodity market.","PeriodicalId":39966,"journal":{"name":"South Asia Economic Journal","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2020-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"4","resultStr":"{\"title\":\"Determinants of the Commodity Futures Market Performance: An Indian Perspective\",\"authors\":\"Priti Dubey, R. Shankar\",\"doi\":\"10.1177/1391561420970837\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This article aims to find out interlinkages between equity and commodity markets through the channel of investors’ outlook in the equity market. The proxies used for gauging perception of investors are investor sentiment index and Advance–Decline ratio. The study also incorporates the introduction of Commodity Transaction Tax (CTT) and occurrence of National Spot Exchange Limited (NSEL) scam in the year 2013. Additionally, returns in commodity market are examined to be a function of equity returns. The empirical findings suggest that the liquidity of commodity futures is inversely related to investor sentiments in equity market, and commodity returns are also negatively related to equity returns. Therefore, equity and commodity markets are inversely related, as liquidity in both the markets reacts to the investor sentiments; contrarily, commodity returns experience a significantly negative impact from equity returns. Additionally, the results also provide evidence that investor sentiment in equity possesses the ability to predict liquidity in the commodity futures market. The study also suggests that the CTT and NSEL scam have significantly and positively affected the liquidity of the Indian commodity market.\",\"PeriodicalId\":39966,\"journal\":{\"name\":\"South Asia Economic Journal\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2020-09-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"4\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"South Asia Economic Journal\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1177/1391561420970837\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"South Asia Economic Journal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1177/1391561420970837","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}

引用次数: 4

摘要

本文旨在通过投资者对股票市场的展望这一渠道，找出股票市场与商品市场之间的内在联系。用于衡量投资者看法的代理是投资者情绪指数和进退比。该研究还纳入了2013年商品交易税(CTT)的引入和国家现货交易所有限公司(NSEL)骗局的发生。此外，商品市场的收益被检验为权益收益的函数。实证结果表明，商品期货流动性与股票市场投资者情绪呈负相关，商品收益与股票收益呈负相关。因此，股票和商品市场呈负相关，因为两个市场的流动性都对投资者情绪做出反应;相反，商品回报经历了股票回报的显著负面影响。此外，研究结果也提供了证据，证明投资者的股票情绪具有预测商品期货市场流动性的能力。该研究还表明，CTT和NSEL骗局显著和积极地影响了印度商品市场的流动性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Determinants of the Commodity Futures Market Performance: An Indian Perspective

This article aims to find out interlinkages between equity and commodity markets through the channel of investors’ outlook in the equity market. The proxies used for gauging perception of investors are investor sentiment index and Advance–Decline ratio. The study also incorporates the introduction of Commodity Transaction Tax (CTT) and occurrence of National Spot Exchange Limited (NSEL) scam in the year 2013. Additionally, returns in commodity market are examined to be a function of equity returns. The empirical findings suggest that the liquidity of commodity futures is inversely related to investor sentiments in equity market, and commodity returns are also negatively related to equity returns. Therefore, equity and commodity markets are inversely related, as liquidity in both the markets reacts to the investor sentiments; contrarily, commodity returns experience a significantly negative impact from equity returns. Additionally, the results also provide evidence that investor sentiment in equity possesses the ability to predict liquidity in the commodity futures market. The study also suggests that the CTT and NSEL scam have significantly and positively affected the liquidity of the Indian commodity market.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

South Asia Economic Journal Economics, Econometrics and Finance-Economics, Econometrics and Finance (all)

CiteScore

1.10

自引率

0.00%

发文量

期刊介绍： The South Asian nations have progressively liberalized their economies in recent years in an effort to integrate with the world economy. They have also taken steps to enhance multilateral and regional economic integration. Even though the South Asian economies have grown at an average rate of more than 5 per cent over the last few years, roughly 40 per cent of their people still live below the poverty line. Hence, the South Asian region continues to face many challenges of economic and social development. The South Asia Economic Journal (SAEJ) is designed as a forum for informed debate on these issues, which are of vital importance to the people of the region who comprise one-sixth of the world’s population. The peer-reviewed journal is devoted to economic analysis and policy options aimed at promoting cooperation among the countries comprising South Asia. It also discusses South Asia’s position on global economic issues, its relations with other regional groupings and its response to global developments. We also welcome contributions to inter-disciplinary analysis on South Asia. As a refereed journal, SAEJ carries articles by scholars, economic commentators,policy-makers and officials, from both the private and public sectors. Our aim is to create a vibrant research space to explore the multidimensional economic issues of concern to scholars working on South Asia. Among the issues debated in relation to South Asia are: - the implications of global economic trends; - the issues and challenges by WTO; - approaches to industrialization and development; - the role of regional institutions such as the SAARC; - the relationship between SAARC and other regional economic groupings such as ASEAN; - the implications of economic liberalization for trade and investment in the region; - new initiatives that can be launched to enhance economic cooperation among the South Asian countries both on a bilateral and a regional basis.