Financialisation Impacting Diversification? Evidence from Indian Equity &amp;amp; Commodity Markets

Narsimhulu, Siddula; Satish, D.; Satyanarayana, S. V.

doi:10.4236/tel.2016.65088

Cited by 5 publications

(6 citation statements)

References 7 publications

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“…We researched the links between financialization and the state of the economy, applying a standard Vector Auto-Regressive model (VAR). The choice of the research method was based on the literature review (Ederer, 2013;Narsimhulu, 2016). The VAR models are multi-equation models developed by Sims (1980), in which each variable is explained by its past values and by past values of other explanatory variables.…”

Section: Econometric Methodologymentioning

confidence: 99%

Financialization: curse or salvation? The case of Latvia, a small and post-transition economy

Stawska¹,

Rupeika-Apoga²,

Malaczewski³

et al. 2022

JESI

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The role of financial sector has increased significantly since the 1980s, introducing a new term or phenomenon i.e. the financialization of the economy. There is still some imprecision about the nature and dynamics of financialization, including its impact on the economy. The main task of the financial sector is to allocate funds for its most productive use, while ensuring sustainable development. Recent studies show that excessive financial deepening negatively impacts the economies of developed countries, but is this true for posttransition economies? The aim of this paper is to look into the relationship between financialization and the state of a small and posttransition economy, the Latvian economy. Using a European database and methodological framework we analyze this relationship in Latvia between 1999Q1 and 2017Q4. In our study, we apply the standard Vector Auto-Regressive model (VAR). Our research results do not indicate that financialization causes significant changes in the state of the Latvian economy. The interpretation of this result is related to the degree of financial deepening in Latvia.

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Section: Econometric Methodologymentioning

confidence: 99%

Financialization: curse or salvation? The case of Latvia, a small and post-transition economy

Stawska¹,

Rupeika-Apoga²,

Malaczewski³

et al. 2022

JESI

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“…Bansal et al (2014) point out that in comparing portfolios with and without commodities, those with commodities provided an increase in returns without a corresponding rise in risk. Narsimhulu et al (2016) found that there was an absence of interdependence between the Indian equity and commodity markets, thus offering diversification benefits. They also found that the equity market and commodity market were decoupled during the financial crisis of 2008, indicating that financialization was not present in Indian commodities.…”

Section: Literature Reviewmentioning

confidence: 99%

“…This study has used two sets of data to support the findings. One set of data, that is, the NSE indices' closing prices is available on the National Stock Exchange of India Limited (NSE) at [https://www.niftyindices.com/reports/historical-data]. The other set, that is, the MCX futures closing price data is obtained from the Bloomberg database which is a paid subscription.…”

Section: Data Availability Statementmentioning

confidence: 99%

Exploring the dynamics of the equity–commodity nexus: A study of base metal futures

Saishree

Padhi

2022

Journal of Futures Markets

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This empirical exercise explores different aspects of the time-varying linkage between the commodity and equity markets in India, focusing on base metal futures. The Dynamic Conditional Correlation model ( 2002) and Diebold-Yilmaz spillover index (2012) are employed to ascertain the presence, pattern, direction, and magnitude of the connectedness between the returns of base metal futures and related equity indices over the period of 2006-2019. The study builds on a less-studied "input" channel of linkage between the two, reckoning with the economic fundamentals of demand-supply interaction. Our results show that 36% of the return forecast error variance originates from spillovers, to which the contribution of equity indices is minimal. It indicates segmentation between the two markets which offer the scope for potential diversification. Further, base metal futures are the net transmitters and equity indices are the net recipients of spillovers. Positive correlations outweigh the negative correlations, in both frequency and magnitude.

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“…Commodities markets have existed for a long time; however, investment in commodities is hindered owing to the non-existence of liquidity, physical delivery, along with counterparty risks. Along with substantial enhancement, the risk is shifted in liquidity with the emergence of commodity exchange (Narsimhulu et al, 2016). Recently, investments by financial institutions in CF increased dramatically.…”

Section: Introductionmentioning

confidence: 99%

“…The descriptive statistics of the daily returns of MCX Comdex spot, MCX Comdex futures, and CNX Nifty for the period of 2019 to 2022 were analyzed in table 1(Narsimhulu et al, 2016). Next, for the daily returns, the mean, Standard Deviation (SD), skewness, and Kurtosis were computed.…”

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confidence: 99%

A Study of Financialization of Commodity Markets in India

Rodrigues,

2023

E3S Web Conf.

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For numerous financial institutions, Commodity Futures (CF) has emerged as a widespread asset class since the 2000s. From 2000 to 2010, the estimation of the number of commodity index traders quadrupled, also, the number of hedge funds tripled. Recently, it has been noticed that in India, there occurs a vast inflow of investment toward the CF. Simultaneously, there occurs a problem of extremely higher prices along with volatility in commodity prices in India. However, studies on the financialization of the Commodity Market (CM) in India are not sufficient. This study was presented for analyzing the role of the financialization of CMs in India. Analyzing the association betweenCMs and equities markets in India is the major intention behind this study. Here, the Indian- MCX of India, the NSE of India, and the S&P500 Index are the sources from where the data has been gleaned. The outcome has been evaluated by utilizing a vector autoregression. The output demonstrated that no positive interdependence was exhibited by the correlation betwixt MCX Comdex returns and CNX Nifty. Consequently, a higher percentage of the mean value was attained by the commodity of daily returns of metal of commodity of agriculture.

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Financialisation Impacting Diversification? Evidence from Indian Equity & Commodity Markets

Cited by 5 publications

References 7 publications

Financialization: curse or salvation? The case of Latvia, a small and post-transition economy

Financialization: curse or salvation? The case of Latvia, a small and post-transition economy

Exploring the dynamics of the equity–commodity nexus: A study of base metal futures

A Study of Financialization of Commodity Markets in India

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