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https://ir.iimcal.ac.in:8443/jspui/handle/123456789/4126| Title: | Analysis of Linkage Dynamics between Commodity and Stock Markets in India using entropy theory |
| Authors: | Reddy, Y. V. Sebastin, A. |
| Keywords: | Commercial products Stock exchanges Stock exchanges Stock exchanges Indian economy, 1991- Entropy Causal relationship Mutual information Non-linear characteristics Time delay Transfer entropy |
| Issue Date: | 2009 |
| Publisher: | Indian Institute of Management Calcutta, Kolkata |
| Series/Report no.: | Vol.36;No.2 |
| Abstract: | The temporal relationship between the commodities market and the stock market has a lot of implications for not only the participants of the markets but also for the policy makers and the producers of the commodities and, in the case of developing nations, for the economy as a whole. This relationship may be studied using various methods and by identifying lead - lag relationship between the values of representative indices of the markets. In this paper, the dynamics of such information transfer among the commodities spot, the commodities derivatives, the stock and the stock derivatives markets in India are studied using the information theoretic concept of entropy, which captures non-linear dynamic relationship also. |
| Description: | Biosketch: Reddy, Y. V., Sebastin, A., Department of Commerce, Goa University, Goa p99-131. 33p. 6 Charts. |
| URI: | https://ir.iimcal.ac.in:8443/jspui/handle/123456789/4126 |
| ISSN: | 0304-0941 |
| Appears in Collections: | Issue 2, August-November 2009 |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| Analysis of Linkage Dynamics between Commodity and Stock Markets.pdf Until 2027-03-31 | Analysis of Linkage Dynamics between Commodity and Stock Markets | 107.14 kB | Adobe PDF | View/Open Request a copy |
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