Empirical Investigation on Food Inflation and Efficiency Issues in Indian Agri-futures Market

2017 ◽  
Vol 3 (2) ◽  
pp. 156-165 ◽  
Author(s):  
Narinder Pal Singh ◽  
Archana Singh
Keyword(s):  
Trading Volume ◽  
Wholesale Price ◽  
Time Frame ◽  
Futures Market ◽  
Sufficient Evidence ◽  
Futures Trading ◽  
Causality Test ◽  
Short Period ◽  
The Government ◽  
Food Inflation

In early 2007, the Government of India (GoI) banned futures trading on some essential agro-commodities such as wheat, rice, and two varieties of lentils due to rising food inflation. However, futures trading in agri-commodities such as chana (chickpea), soy oil, rubber, and potato were temporarily suspended. Professor Abhijit Sen’s committee, constituted to study the relationship between futures trading and agricultural commodities inflation, did not find sufficient evidence of inflationary impact of futures trading in India due to too short period of commodity futures trading. Also, an efficient futures market is required for the producers, traders, and consumers to hedge their price risk. Thus, in this study, we analyze the market efficiency of agricultural futures market and the effect of futures trading on inflation with special reference to chana (chickpea) market in India. This study is for a time frame of 10 years from 2005–2014. The data on closing prices of chana in futures and spot markets and futures trading volume has been collected from National Commodity and Derivatives Exchange, and chana wholesale price index (WPI) monthly data from Office of the Economic Adviser, GoI. The collected data is analyzed for efficiency using Johansen cointegration approach and vector error correction (VEC) restrictions and inflationary effect using Toda Yamamoto (TY) version of Granger causality test. From the results, we find that the spot and futures prices for chana are cointegrated and unbiased, that is, the chana (chickpea) futures market is efficient. But, the futures trading of chana has inflationary impact, that is, futures trading volume of chana affects chana WPI. This research has got direct implications for government and market participants. India is the largest consumer of chana (chickpea)—the third most important pulse crop produced in the world. Thus, the inflationary impact of chana futures trading is a matter of concern for GoI.

Impact of futures trading on volatility of spot market-a case of guar seed

2015 ◽  
Vol 75 (3) ◽  
pp. 416-431 ◽  
Author(s):  
Dinesh Kumar Sharma ◽  
Meenakshi Malhotra
Keyword(s):  
Trading Volume ◽  
Price Volatility ◽  
Futures Market ◽  
Spot Price ◽  
Futures Trading ◽  
Market Prices ◽  
Content Type ◽  
Commodity Derivatives ◽  
Spot Volatility ◽  
Guar Seed

Purpose – Guar Seed crop is ruling the Indian International business mainly due to its application as a drilling fluid in shale energy industry concentrated in the USA. One of the allegations against futures market is its possible role in increasing the volatility of underlying physical market prices. Suspension of guar seed futures contract in 2012 at National Commodity Derivatives Exchange of India (NCDEX)-India, has reignited the controversy and raised an alarm bell to peek into obscure world of Indian commodity derivatives market. Against the backdrop of fiasco in guar futures trading, the purpose of this paper is to investigate whether sudden surge in futures trading volume leads to increase in the volatility of spot market prices. Design/methodology/approach – Guar seed spot returns volatility is modeled as a GARCH (1, 1) process. Futures trading volume and open interest are segregated into expected and unexpected components. The data are analyzed from 2004 to 2011 using Augmented GARCH model to study the contemporaneous relationship between spot volatility and unexpected futures trading activity and Granger Causality test for examining the dynamic relationship between them and ascertaining causality. Findings – Augmented GARCH model reports positive relationship between unexpected futures trading volume (UTV) and spot returns volatility, and, Granger Causality flows from UTV to spot volatility. Therefore, when the level of futures trading volume increases unexpectedly, the volatility of spot prices increases pointing toward the destabilizing impact of futures trading. However, hedger’s activity, represented by open interest is not seen to have any causal/destabilizing impact on spot price volatility of guar seed. Practical implications – The study provides empirical evidence to support the concern of regulators, genuine hedgers and other traders about the presence of excessive speculation and market manipulations perpetrated through futures market that is disturbing the underlying physical market instead of strengthening it by aiding in price discovery and risk mitigation. Originality/value – There are very few studies which have empirically investigated the temporal relation between volume and volatility in Indian agricultural commodity markets. With guar seed as a special case the present study investigates statistically the impact of futures trading on spot price volatility. In light of the findings of the study, the curb imposed on guar seed futures trading in 2012 was justified.

scholarly journals The Empirical Research on Causal Relationship Between Export and Foreign Investments in the Economy of Uzbekistan Based on Granger Test

2019 ◽  
Vol 9 (1) ◽  
pp. 4631-4635
Keyword(s):  
Time Series Data ◽  
Positive Impact ◽  
Sufficient Evidence ◽  
Series Data ◽  
Foreign Investments ◽  
Causality Test ◽  
Export Volume ◽  
Relevant Topic ◽  
The Government ◽  
The Relationship

The relationship between export and foreign investments is becoming more and more relevant topic in the economies of many countries in the world. This relationship, its direction and mechanism are, particularly crucial for emerging markets. This paper investigates the direction of the relationship between the export and foreign investments of Uzbekistan based on the data on previous years. Since the government have been reforming the macroeconomic policy of Uzbekistan gradually towards openness in recent years, it is very important to find the direction of the association before forming national strategy to encourage the export of the country and to attract foreign investments to the country. In this study Granger causality test is used to determine the direction of the relationship using time series data from 2005 to 2017. With respect to the findings of the study, it can be seen that the volume of export has positive impact on the foreign investments. However, there is no sufficient evidence to support the idea that foreign investment has significant impact on the volume of export. The results conclude that in Uzbekistan, export volume is one of the key factors that have been contributing to the attractiveness of investment climate in recent years

scholarly journals Does Trading Volume explain the Information Flow of Crude Palm Oil Futures Returns?

2020 ◽  
Vol 12 (2) ◽  
pp. 115-136
Author(s):  
You-How Go ◽  
◽  
Wee-Yeap Lau ◽  
Keyword(s):  
Palm Oil ◽  
Trading Volume ◽  
Futures Market ◽  
Sensitive Information ◽  
Crude Palm Oil ◽  
Futures Trading ◽  
Oil Futures ◽  
Futures Contract ◽  
Information Set

This study examines the role of trading volume in the crude palm oil (CPO)futures market as a proxy for information áow from the perspective of the mixture-of-distributions hypothesis (MDH). Using the data from January 2000 to April 2017, a sym-metric GARCH model has been estimated, in which the residuals follow alternatively thenormal Student-t and generalised error distribution. An alternative augmented model thatconsists of trading volume as an exogenous variable is estimated with the same error dis-tributions. Our results suggest several conclusions: First, the trading volume could not actas a true proxy for information áow. This indicates that volume of futures trading containsrelatively less price-sensitive information. Secondly, the inclusion of trading volume into theconditional variance equation with Student-t distributed errors is important for modellingpurposes when the returns are leptokurtic and positively skewed. Hence, it can be concludedthat the use of return and trading volume will enhance the current information set usedby practitioners and analysts in pricing the CPO futures contract when there exists a highdegree of leptokurtosis in the returns. This is the Örst study that validates the MDH in thecontext of the CPO futures market

scholarly journals Single Stock Futures Trading and Stock Price Volatility: Empirical Analysis

2009 ◽  
Vol 48 (4II) ◽  
pp. 553-563 ◽  
Author(s):  
Safi Ullah Khan ◽  
Syed Tahir Hijzi
Keyword(s):  
Stock Market ◽  
Trading Volume ◽  
Price Volatility ◽  
Futures Contracts ◽  
Sufficient Evidence ◽  
Spot Price ◽  
Return Volatility ◽  
Futures Trading ◽  
Underlying Stocks ◽  
Single Stock Futures

This study examines impact of the introduction of single stock futures contracts on the return volatility of the SSFs-listed underlying stocks. The study documents a significant decrease in return volatility for the SSFs-underlying stocks following the introduction of single stock futures contracts on the Karachi Stock Exchange. The multivariate analysis in which the spot trading volume, the futures trading volume and open interest were partitioned into news and informationless components, the estimated coefficient of expected futures volume component is statistically significant and negatively related to volatility, suggesting that equity volatility is mitigated when the expected level of futures activity is high. The findings of the decreased spot price volatility of the SSFs-underlying stocks associated with large expected futures activity is important to the debate of regarding the role of equity derivatives trading in stock market volatility. These empirical results for the Pakistan’s equity market support theories implying that equity derivates trading improves liquidity provision and depth in the equity markets, and appear to be in contrast to the theories implying that equity derivates markets provide a medium for destabilising speculation. Finally, the SSFs-listed stocks were grouped with a sample of non-SSFs stocks to examine cross-sectional data for comparing changes in return volatility. After controlling for the effects of a number of determinants of volatility, sufficient evidence is found to support that, this multivariate test, like the previous analysis, provides no evidence that the volatility of the SSFsunderlying stocks is positively related to the introduction of the single stock futures trading in the Pakistan’s stock market.

scholarly journals Efficiency of chilli futures trading in terms of price discovery and price transmission

2020 ◽  
Vol 11 (2) ◽  
pp. 137-143
Author(s):  
J. Naipunya ◽  
I. Bhavani Devi ◽  
D. Vishnusankar Rao
Keyword(s):  
Price Discovery ◽  
Futures Market ◽  
Seemingly Unrelated Regression ◽  
Price Transmission ◽  
Spot Markets ◽  
Futures Trading ◽  
Causality Test ◽  
Spot Prices ◽  
Integration Test ◽  
Adf Test

This paper has examined the efficiency of futures trading of chilli in terms of price discovery and transmission. Seemingly unrelated regression” (SUR) model, Johansen’s multiple cointegrationtest, granger causality test and vector error correction model was applied to draw the results. Chilli spot market (Guntur) was efficient in price discovery. The Silbers and Garbage value of futures market was 0.0403 being significant at 1 per cent level (0.0037) indicating that futures market of chilli was inefficient in price discovery. The findings of the ADF test suggested that futures and spot prices of chilli attained stationarity at first difference. The co-integration test revealed the presence of one co-integrating equation and confirmed the long-run equilibrium relationship among futures and spot prices of chilli and spot markets came to short-run equilibrium as indicated by level of significance at 5 per cent i.e. (0.022), any disturbances in price would get corrected within 3 hours in spot markets as indicated by co-efficient values.

scholarly journals Impact of Commodity Transaction Tax on Market Liquidity, Volatility, and Government Revenues: An Empirical Study for India

2019 ◽  
Vol 44 (1) ◽  
pp. 12-29 ◽  
Author(s):  
Sanjay Sehgal ◽  
Tarunika Jain Agrawal
Keyword(s):  
Trading Volume ◽  
Market Liquidity ◽  
Commodity Futures ◽  
Tax Revenue ◽  
Agricultural Commodity ◽  
Futures Trading ◽  
Executive Summary ◽  
The Government ◽  
Transaction Tax ◽  
The Impact

Executive Summary A commodity transaction tax (CTT) of 0.01 per cent is levied on non-agricultural commodity futures trading since 1 July 2013 by the Government of India. This article examines the impact of CTT on market liquidity, volatility and government tax revenues for the Indian commodities market. We use daily data of five sample commodities, namely gold, aluminium, copper, zinc and crude oil available from 1 May 2010 to 31 August 2016. It is found that CTT imposition has destroyed the parity of the Indian commodity futures market with the international markets as CTT is absent on COMEX, LME, NYMEX, and so on. Moreover, evidence of trade migration can be found by drawing a comparison across MCX and international exchanges. This argument is further substantiated by observing the decline in liquidity after the imposition of CTT. It should be further noted that parity with the equity market is also lost as the transaction taxes imposed in equity and commodity markets are not in line with the level of volatilities of the two markets. CTT has also failed to curb speculative pressure as average volatility on major commodities has risen significantly by about 33 per cent post its imposition. Considering the transaction tax, income tax and service tax aspects and decline in the trading volume attributed solely to the CTT imposition, it is found that CTT results in huge revenue loss to the exchequer. It is estimated that at the current CTT rate, government is losing an annual net tax revenue worth ₹30 billion. Even at a lower rate of 0.001 per cent (which is one-tenth of the current rate of 0.01%), the government’s fiscal loss is expected to be about ₹2.50 billion. Even if we make a conservative assumption that CTT accounts for only 25 per cent decline in the trading volumes, the optimal CTT rate, in terms of tax revenue collections, is found at 0.003 per cent, well below the current rate. There is, therefore, no justification for retaining CTT on the commodity futures trading in India as it leads to a huge revenue loss to the government, owing to reduced trading activity and trade migration. Withdrawal of CTT would be ideal for Indian commodities market development, improving its liquidity and making it more internationally competitive.

scholarly journals Commodity Futures-an Indian Experience

2009 ◽  
Vol 8 (2) ◽  
pp. 24-39
Author(s):  
G. Prahlad Chowdri
Keyword(s):  
Comparative Study ◽  
Stock Exchange ◽  
Futures Market ◽  
Commodity Futures ◽  
Historical Background ◽  
Indian Government ◽  
Futures Trading ◽  
Indian Experience ◽  
The Government

The policy liberalization by the Indian government to allow futures trading in commodities in 2003, after prolonged deliberations on this demand, has thrown open several opportunities and challenges. This paper intends focussing on the historical background and present scenario of the commodity futures market in India. This paper also focuses on the policy aspects initiated by the government in commodity futures market in India. The performances of Commodity exchanges in India and a comparative study with Stock exchange proves the direction of commodity futures trading.

Tax revenue and economic growth in developing country: an autoregressive distribution lags approach

2020 ◽  
Vol 7 (54) ◽  
pp. 205-217
Author(s):  
Mnaku Honest Maganya
Keyword(s):  
Economic Growth ◽  
Granger Causality ◽  
Testing Procedure ◽  
Gdp Growth ◽  
Bounds Testing ◽  
Causality Test ◽  
Significance Level ◽  
Distributed Lag ◽  
Distributed Lag Model ◽  
The Government

AbstractTanzania, like most other developing countries, faces numerous economic challenges in striving to achieve sustainable economic growth and development through taxation. In the literature, the debate on how effective taxes are as a tool for promoting economic growth and economic development remains inconclusive, as various research have reported mixed effects of tax on economic growth. This article investigates the effect of taxation on economic growth in Tanzania using the recently developed technique of autoregressive distributed lag model (ARDL) bounds testing procedure for the period from 1996 to 2019. Various preliminary tests were conducted including stationary tests as well as the pair-wise Granger causality test. According to the results obtained, domestic goods and services (TGS) taxes are positively related to GDP growth and are statistically significant at 1% level. Income taxes, on the other hand, were found to be negatively related to GDP growth and to be statistically significant at 5% level. The pair-wise Granger causality results indicated that there is bidirectional Granger causality between TGS and GDP growth at 1 % significance level. The government should aim at growing, nurturing and sustaining tax base to positively drive economic growth even further.

An Indian Official’s Trials and Tribulations

2018 ◽  
Author(s):  
Ruchi Ram Sahni
Keyword(s):  
Psychological Trauma ◽  
Government College ◽  
Chemistry Department ◽  
Senior Professor ◽  
Short Period ◽  
The Government ◽  
The University

In this chapter Ruchi Ram Sahni recounts what he calls the most depressing and unpleasant incident of his life. It involved his supersession for the position of Professor-in-Charge of the Chemistry Department at the Government College, Lahore, by a much younger Englishman, fresh from university. The post in question was vacated by an English colleague, a Senior Professor, with whom the author had a difficult relationship involving a dispute about who was to be selected for the post of Examiner in the university examinations. This colleague went on to write a secret report against Sahni, resulting in his supersession despite his vast seniority. Sahni relates the psychological trauma resulting from this experience, and its contribution to strengthen his resolve to leave Lahore for a short period to do research in Europe.

scholarly journals Media Bias: A Corpus-based Linguistic Analysis of Online Iranian Coverage of the Syrian Revolution

2020 ◽  
Vol 6 (1) ◽  
pp. 584-600
Author(s):  
Amaal Al-Gamde ◽  
Thora Tenbrink
Keyword(s):  
Critical Time ◽  
Media Bias ◽  
Time Frame ◽  
News Agency ◽  
News Discourse ◽  
Syrian Civil War ◽  
Political Perspective ◽  
Islamic Republic Of Iran ◽  
The Government ◽  
Syrian Revolution

AbstractThis study explores the influence of a government’s ideology on linguistic representation in a news agency that characterizes itself as independent. It focuses on the coverage of the Syrian civil war as reported by the Iranian news agency Fars, addressing the discursive constructions of anti-government powers in relevant online reports released between 2013 and 2015. Since the Islamic Republic of Iran was a major regional ally of the Syrian government, we questioned the extent to which ideological independence could be expected during a politically critical time frame. Taking a corpus-based linguistic approach, the study explores the semantic macrostructures representing the opposition as well as the lexical clusters and keywords characterizing the news discourse. The findings indicate that Fars’ representation of the Syrian Revolution was, to some extent, biased, despite its claimed independence of the government’s political stance. It excluded the Sunni social actors, suppressed the Islamic faction identity of the rebels and depicted the uprising as a war against foreign-backed militants. The rebels were stereotyped in terms of terrorism and non-Syrians. In addition, the analysis reveals Fars’ tendency to emphasize the power of the government, depicting it as the defender of the Arab land and foregrounding the discourse of international conspiracy against Syria. The results of this work project the dimension of media bias caused by the underpinning political perspective of media institutions.

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