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Impact of Global Financial Crisis and Implied Volatility in the Equity Market on Gold Futures Traded on Multi Commodity Exchange, India

By Pankaj Sinha and Kritika Mathur

Gold is one of the most highly traded commodities in the Indian Commodity Market. It can be traded either in the spot market or the futures market, options contracts are not permitted in the Indian commodity market. In this study, the price behaviour of Gold futures traded on Multi Commodity Exchange are analysed from the year 2007 to year 2013. The issue of the introduction of option contracts on Gold in the Indian commodity market has been addressed through: (a) Presence of short term persistence in return volatility (b) Impact of recent Global Financial Crisis on daily return volatility (c) Impact of implied volatility of equity market on return and weekly return volatility. The study indicates the presence of short term persistence in return volatility of gold as well as the influence of the recent Global financial crisis on return volatility of the metal. It is also observed that that the implied volatility of equity market affects the weekly returns as well as weekly return volatility of a futures contract of Gold.

URL: https://mpra.ub.uni-muenchen.de/72966/1/MPRA_paper_72966.pdf

Courtesy: MPRA

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