{"id":3992,"date":"2018-04-21T00:21:57","date_gmt":"2018-04-20T21:21:57","guid":{"rendered":"https:\/\/www.berjournal.com\/?p=3992"},"modified":"2018-04-22T15:14:59","modified_gmt":"2018-04-22T12:14:59","slug":"testing-multi-bubbles-for-commodity-derivative-markets-a-study-on-mcx","status":"publish","type":"post","link":"https:\/\/www.berjournal.com\/tr\/testing-multi-bubbles-for-commodity-derivative-markets-a-study-on-mcx","title":{"rendered":"Testing Multi Bubbles for Commodity Derivative Markets: A Study on MCX"},"content":{"rendered":"

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Makale Bilgileri<\/td>\n<\/tr>\n
\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n
Dergi:<\/td>\nBusiness and Economics Research Journal<\/td>\n<\/tr>\n
Makalenin Ba\u015fl\u0131\u011f\u0131:<\/td>\nTesting Multi Bubbles for Commodity Derivative Markets: A Study on MCX<\/td>\n<\/tr>\n
Yazar(lar):<\/td>\nAyben Koy<\/td>\n<\/tr>\n
Cilt:<\/td>\n9<\/td>\n<\/tr>\n
Say\u0131:<\/td>\n2<\/td>\n<\/tr>\n
Y\u0131l:<\/td>\n2018<\/td>\n<\/tr>\n
Sayfa:<\/td>\n291-299<\/td>\n<\/tr>\n
ISSN:<\/td>\n2619-9491<\/td>\n<\/tr>\n
DOI Numaras\u0131:<\/td>\n10.20409\/berj.2018.105<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<\/td>\n<\/tr>\n
\u00d6z<\/td>\n<\/tr>\n
Due to their volatility differences, yield differences and low correlations with equity markets, metal futures are held for diversification in the international investors\u2019 portfolios. Beginning with dot.com bubble and following global crisis, the mutual movement of equity markets caused investors to canalize alternative investment vehicles. The study aims to investigate if there are bubbles in metal futures in The Multi Commodity Exchange of India Limited (MCX) related the period beginning from January 2010 to August 2017 for copper, lead, nickel and zinc; and March 2010 to August 2017 for aluminum in a weekly data range. Using Sup Augmented Dickey Fuller (SADF) and Generalized Sup Augmented Dickey Fuller (GSADF) tests, no evidence on bubble could be found in any metal market in the used MCX sample. The precious metal markets are out of the sample because of their relatively high volatility.<\/td>\n<\/tr>\n
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Anahtar Kelimeler:<\/td>\nBubble, Commodity Market, Metal Market, SADF, GSADF<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<\/td>\n<\/tr>\n
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JEL S\u0131n\u0131fland\u0131rmas\u0131:<\/td>\nG00, G10, G15, C58<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n
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Makale Bilgileri Dergi: Business and Economics Research Journal Makalenin Ba\u015fl\u0131\u011f\u0131: Testing Multi Bubbles for Commodity Derivative Markets: A Study on MCX Yazar(lar): Ayben Koy Cilt: 9 Say\u0131: 2 Y\u0131l: 2018 Sayfa: 291-299 ISSN: 2619-9491 DOI Numaras\u0131: 10.20409\/berj.2018.105 \u00d6z Due to their volatility differences, yield differences and low correlations with equity markets, metal futures are held […]<\/p>\n

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