This paper employs Granger causality tests and Sims' innovation accounting to explain
fluctuations in monthly stock returns within a vector autoregressive framework. The results …

This paper examines the lead‐lag relationship between futures trading activity (volume and
open interest) and cash price volatility for major agricultural commodities. Granger causality …

This paper examines linkages between government bond markets of five industrialized
countries (US, Japan, Germany, UK and Canada) during the period of January 1986 to …

We examine the patterns of information flows within and across sectors of the two Chinese
stock exchanges in Shanghai and Shenzhen during 1994–2001. Using the generalized …

This paper investigates the cross market linkages of Indian commodity futures for nine
commodities with futures markets outside India. These commodities range from highly …

The article is an attempt to evaluate the price discovery functions and hedging effectiveness
of the aluminum futures market in India. The article identifies the influential direction of price …

The Indian commodity futures market is of recent introduction, albeit, it was in existence in a
crude form a few centuries ago. After the opening of national level exchanges post 2002, the …

In the context of emerging Indian commodity futures markets, this paper empirically
examines the effect of futures trading activity (trading volume; proxy of futures liquidity) on …

This paper examines linkages among six major European government bond markets
(Germany, France, Italy, UK, Belgium and the Netherlands) during 1988–2003. There is …

Purpose It has become an ongoing debate whether Indian commodity futures markets can
accommodate farmers. The purpose of this paper is to examine whether Indian commodity …