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The ConBack Gimmick: A Strategy for Speculation

XIBA Business Review

Volume 3 Issue 1 & 2

Published: 2017
Author(s) Name: Bhabani Sankar Rout, K. Chandrasekhara Rao | Author(s) Affiliation: Research Scholar, Dept. of Banking Technology, Pondicherry University, Puducherry, India.
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Abstract

This paper is directed to empirically explore the applicability of Keynes’s assumptions on Indian Commodity Derivative market and to have an insight about the randomness of Contango and Normal Backwardation of Contract Months and Near Months in the select commodities. The data for the select commodities have been triangulated from MCX and NCDEX over a period of three years i.e. from 2013 to 2015. Runs test is employed to check the randomness of the Contango and Normal Backwardation in the select commodities market. The paper also attempted to draw an exclusive pattern for both Contango and normal backwardation by which the hedgers would be able to hedge their price risk and also would be beneficial to the speculators to earn a handsome premium.

Keywords: Contango, Backwardation, Anchor’s Heuristic Effect, Risk Premium, Shadownomics

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