IIMS Journal of Management Science

Does the Base Metal Futures Market of India Support the MDH? An Empirical Evidence

Laxmidhar Samal^1,2 and Sudhansu Kumar Das³

First Published 3 Oct 2022. https://doi.org/10.1177/0976030X221116200

Article Information

Volume 14, Issue 1 January 2023

Corresponding Author:

Laxmidhar Samal, Utkal University, Bhubaneswar, Odisha 751004, India; P. G. Department of Commerce, Baba Bhairabananda Autonomous Mahavidyalaya, Chandikhole, Jajpur, Odisha 755044, India.
Email: laxmidharsamal.ckl@gmail.com

¹Utkal University, Bhubaneswar, Odisha, India

²P. G. Department of Commerce, Baba Bhairabananda Autonomous Mahavidyalaya, Chandikhole, Jajpur, Odisha, India

³Department of Commerce, Sadhu Goureswar College, Odisha, India

Creative Commons Non Commercial CC BY-NC: This article is distributed under the terms of the Creative Commons Attribution-NonCommercial 4.0 License (http://www.creativecommons.org/licenses/by-nc/4.0/) which permits non-Commercial use, reproduction and distribution of the work without further permission provided the original work is attributed.

Abstract

The study examines the mixture of distribution hypothesis (MDH) and the sequential information arrival hypotheses (SIH) in the base metal futures market of India. We use near-month futures daily trading data of price, volume and open interest for 7 years. It is downloaded from the official website of Multi Commodity Exchange (MCX), India. The study supports the MDH as it confirms the existence of a contemporaneous correlation between the return and change in volume of all base metal futures traded at MCX, India. The article exhibits no causality between the return and volume change of metal futures which supports the MDH and contradicts the SIH. This indicates a greater level of market efficiency. The study finds unidirectional causality between the return and daily change of open interest and bidirectional causality between the change in volume and change in open interest. This is found for all base metal futures and this aspect is left for in-depth analysis by the futures studies.

Keywords

Base metal, futures, copper, lead, nickel

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