1 Utkal University, Bhubaneswar, Odisha, India
2 P. G. Department of Commerce, Baba Bhairabananda Autonomous Mahavidyalaya, Chandikhole, Jajpur, Odisha, India
3 Department of Commerce, Sadhu Goureswar College, Odisha, India
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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.
Base metal, futures, copper, lead, nickel
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