A Study on Long Term Relationship of Spot and Future Prices in Energy Commodities

Authors

  • Dr. S. P. Dhandayuthapani  Department of Management Studies, Anna University, BIT Campus, Trichy, Tamil Nadu, India
  • R. Pavithra  Department of Management Studies, Anna University, BIT Campus, Trichy, Tamil Nadu, India

Keywords:

ADF Test, PP Test, Johansen Cointegration Test.

Abstract

This study examines the active relationship of spot and future prices in energy commodities. The major objective of this study is to check their stationarity and the long term relationship between the daily commodity future and spot prices. To confer the relationship, the ADF and PP test are applied to test their stationarity and Johansen cointegration test implied to study their relationship of spot and future prices of the commodities. Energy commodities such as crude oil and natural gas are considered for this study.

References

  1. Derick D.Quintino, Sergio A.David, Carlos E. de F.Vian. “Analysis of the Relationship Between Ethanol Spot and Future Prices in Brazil.” International Journal of Financial Studies (April 2017).
  2. Dr.K.Nirmala, C.Swarna. “Examining The Relationship Between Spot and Future Price of Crude Oil.” KAAV International Journal of Economics, Commerce and Business Management (Jan-Mar 2017): 309-314.
  3. Dr.S.P.Dhandayuthapani, K.Dhineshini. “A Study on Agricultural Commodity in Trichy.” International Journal of Research, Commerce, IT & Management (May 2016): 88-90.
  4. Eryigit, Mehmet. “Short Term and Long Term Relationship Between Gold Prices and Precious Metal and Energy.” Economic Research - Ekonomska Istrazivanja (April 2017): 1-12.
  5. P.Natarajan, E.Nirupama. “Nexus Between Spot and Futures Price of Cardamom.” International Research Journal of Business and Management (Jan 2015): 44-49.
  6. R.H.Raghavendra, P.S.Velmurugan, A.Saravanan. “Relationship Between Spot and Future Markets of Selected Agricultural Commodities in India: An Effeciency and Causation Analysis.” Journal of Business and Financial Affairs (2016): 1-8.
  7. Sharma, Dr.Tanushree. “An Empirical Analysis of Commodity Future Market in India.” International Journal of Engineering Technology, Management and Applied Sciences (March 2015): 11-19.

International Journal of Scientific Research in Science, Engineering and Technology

Downloads

Published

2017-06-30

Issue

Volume 3, Issue 3, May-June-2017

Section

Research Articles

License

Copyright (c) IJSRSET

Creative Commons License

This work is licensed under a Creative Commons Attribution 4.0 International License.

How to Cite

[1]
Dr. S. P. Dhandayuthapani, R. Pavithra, " A Study on Long Term Relationship of Spot and Future Prices in Energy Commodities, International Journal of Scientific Research in Science, Engineering and Technology(IJSRSET), Print ISSN : 2395-1990, Online ISSN : 2394-4099, Volume 3, Issue 3, pp.08-11 , May-June-2017.