Market outcomes with energy derivatives: a case study of crude oil in India
Student name: Ms Yatika Gupta
Guide: Dr Debdatta Saha
Year of completion: 2013
Host Organisation: TERI University
Abstract: The study attempts to judge the impact of futures trading on the price volatility of crude oil in India for the
period starting from May, 2005 to December, 2012. The data is taken from MCX website. This impact is
investigated by examining the relationship between the futures trading activity and spot market volatility after
dividing the whole data into three sub-periods namely, before crisis period, during crisis period and after
crisis period and also, the direction of flow of volatility spillovers between the futures market and the spot
market. The results indicate that the volatility in spot markets has increased for during crisis period and that
the spot prices cause volatility in the futures prices. Thus, indicating that inefficient functioning of futures
market in the energy sector.
Keywords: Crude oil volatility, energy derivatives, volatility modelling (GARCH), Granger Causality.
