Volatility Modeling, Seasonality and Risk-Return Relationship in GARCH-in-Mean Framework: The Case of Indian Stock and Commodity Markets

Emergence of Commodity Derivatives as Defensive Instrument in Portfolio Risk Hedging: A Case of Indian Commodity Markets

Studies in Business and Economics ◽

10.1515/sbe-2017-0015 ◽

2017 ◽

Vol 12 (1) ◽

pp. 202-234 ◽

Cited By ~ 1

Author(s):

Shelly Singhal

Keyword(s):

Efficient Frontier ◽

Commodity Markets ◽

Portfolio Risk ◽

Daily Growth ◽

Risk Hedging ◽

Risk Return ◽

Daily Data ◽

Relative Standard ◽

Commodity Derivatives ◽

Diversification Benefit

AbstractThis paper empirically examines whether commodity derivatives can be used as an alternative investment asset in India where commodity markets are at emerging state and provides the same diversification benefit as they provide in developed commodity markets. In India only commodity futures are prevalent so various commodity indices representing various sectors has been used in the study. Diversification aspect of commodity derivatives has been tested initially by using correlation analysis. Compounded Daily Growth rate and Relative Standard deviation has been used as a measure of calculating risk and return of daily data of SENSEX, BOND and four Commodity Indices (MCX Comdex, MCX AGRI, MCX Metal, MCX Energy). Markowitz Efficient Frontier theory has been used to calculate portfolio risk return and Sharpe risk adjusted ratio has been used to evaluate the various portfolios. Optimal portfolio has been obtained for the combination of equity, bond and commodity and overall results of the study indicate that an investor who is risk averse will prefer to invest in combination of SENSEX, BOND & MCX Energy whereas an investor who gets utility by taking more risk for more returns will prefer to invest in combination of SENSEX, BOND & MCX Metal. Investor having inclination towards moderate risk return would tend to invest in MCX AGRI along with SENSEX and BOND.

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Volatility Modeling of Commodity Markets in India: Application of Selected GARCH Models

Indian Journal of Research in Capital Markets ◽

10.17010/ijrcm/2018/v5/i4/130137 ◽

2018 ◽

Vol 5 (4) ◽

pp. 27

Author(s):

S. Nirmala ◽

Deepthy K.

Keyword(s):

Commodity Markets ◽

Garch Models ◽

Volatility Modeling

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Convergence of Corporate Governance Models

Voprosy Ekonomiki ◽

10.32609/0042-8736-2004-1-129-140 ◽

2004 ◽

pp. 129-140 ◽

Cited By ~ 1

Author(s):

M. Tretyakov

Keyword(s):

Corporate Governance ◽

Institutional Environment ◽

Driving Forces ◽

Commodity Markets ◽

Legal Systems ◽

National Institutions ◽

Governance Models ◽

Changing Role

The article focuses on the analysis of the process of convergence of outsider and insider models of corporate governance. Chief characteristics of basic and intermediate systems of corporate governance as well as the changing role of its main agents are under examination. Globalization of financial and commodity markets, convergence of legal systems, an open exchange of ideas and information are the driving forces of the convergence of basic systems of corporate governance. However the convergence does not imply the unification of institutional environment and national institutions of corporate governance.

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Modernization of Antimonopoly Policy in Russia (Economic Analysis of Proposed Changes in the Competition Law)

Voprosy Ekonomiki ◽

10.32609/0042-8736-2005-5-100-116 ◽

2005 ◽

pp. 100-116

Author(s):

S. Avdasheva ◽

A. Shastitko

Keyword(s):

Economic Analysis ◽

Financial Markets ◽

Financial Services ◽

Competition Law ◽

Commodity Markets ◽

State Aid ◽

Executive Power ◽

Rule Of Reason ◽

Per Se

The article is devoted to the analysis of the draft law "On Protection of Competition", which must substitute the laws "On Competition and Limitation of Monopolistic Activity on Commodity Markets" and "On Protection of Competition on the Financial Services Market". The innovations enhancing the quality of Russian competition law and new norms providing at least ambiguous effects on antimonopoly regulation are considered. The first group of positive measures includes unification of competition norms for commodity and financial markets, changes of criteria and the scale of control of economic concentrations, specification of conditions, where norms are applied "per se" and according to the "rule of reason", introduction of rules that can prevent the restriction of competition by the executive power. The interpretation of the "collective dominance" concept and certain rules devoted to antimonopoly control of state aid are in the second group of questionable steps.

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