Mukherjee, Dr. Kedar nath (2011): Commodity investments: opportunities for Indian institutional investors.
Download (692kB) | Preview
An attempt has been made to establish the fact that by investing in commodities or it alternative channels, institutional investors like banks can not only compensate for the lower risk-free returns in their major chunk of investments in Government securities, but also will be able to diversify some amount of their portfolio risk which is expected to rise by taking exposure in commodity market. The results exhibited in all the tables and figures clearly depict that investment in alternative channels like commodity indices or commodity futures contracts in India will not only allow the institutional investors to leverage their portfolio return, but also will ensure that diversification benefits is achieved. Therefore, even if investment in direct commodities are restricted for Indian banks, but still there is a significant opportunity for them to invest in the available alternative channels like commodity indices or commodity futures contracts.
|Item Type:||MPRA Paper|
|Original Title:||Commodity investments: opportunities for Indian institutional investors|
|Keywords:||Investment Portfolio, Commodity, Commodity Futures, Institutional Investors|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency ; Event Studies ; Insider Trading
G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets
G - Financial Economics > G1 - General Financial Markets > G10 - General
|Depositing User:||Dr. Kedar nath Mukherjee|
|Date Deposited:||19. Sep 2011 13:09|
|Last Modified:||31. Dec 2015 00:34|
1. Bjornson B. and C.A. Carter (1997), “New Evidence on Agricultural Commodity Return Performance under Time-Varying Risk", American Journal of Agricultural Economics, Vol. 79, pp. 918-930
2. Bodie. Z., and Rosansky, V. (1980, May/June), “Risk and Return in Commodity Futures”, Financial Analysts Journal, pp. 27-39.
3. C. Mitchell Conover, Gerald R. Jensen, Robert R. Johnson, Jeffrey M. Mercer (Fall 2010), “Is Now the Time to Add Commodities to Your Portfolio?” The Journal of Investing, Vol. 19, No. 3: pp. 10-19
4. Center for International Securities and Derivatives Markets- CISDM (2006), “The Benefits of Commodity Investment: 2006 Update” Isenberg School of Management, University of Massachusetts, Amherst, Massachusetts, 01003
5. Edwards, F. and Park, J. (1996), “Do Managed Futures Make Good Investments?” The Journal of Futures Markets, Vol. 16, pp. 475-5I7.
6. Elton, E., Gruber, M., and Rentzler, J. (1987, April), “Professionally Managed, Publicly Traded Commodity Funds”, Journal of Business, pp. 177-199
7. Emmet Doyle, Jonathan Hill, and Ian Jack (2007), “Growth in Commodity investment: risks and challenges for commodity market participants”, FSA Markets Infrastructure Department
8. Erb, C.B. and C.R. Harvey (2006), “The Tactical and Strategic Value of Commodity Futures", Duke University Working Paper, pp 61
9. Gorton, G. and Rouwenhorst, K.G. (2005), “Facts and fantasies about commodity futures”, Yale ICF working paper no. 04-20, pp40.
10. Greer, R.J. (2000), “The Nature of Commodity Index Returns." The Journal of Alternative Investments, Vol. Summer, pp. 45-53.
11. Greer, Robert J. (2007), “The Role of Commodities in Investment Portfolios”, CFA Institute, Conference Proceedings Quarterly (December), pp. 35-44
12. Irwin, S., and Landa, D. (1987, Fall), “Real-estate, Futures, and Gold as Portfolio Assets”, The Journal of Portfolio Management, pp. 29-34
13. Irwin, S., Brrorsen, W. (1985, Fall), “Public Futures Funds”, The Journal of Futures Markets, pp. 463-85
14. Jason Laws and John Thompson (May 2007), “Portfolio Diversification and Commodity Futures”, Working Paper, Liverpool Business School, Liverpool John Moores University, John Foster Building, Mount Pleasant, Liverpool
15. Jensen, G., Johnson, R.R.and Mercer, J.M. (2002), “Tactical asset allocation and commodity futures”, The Journal of Portfolio Management, Summer, pp. 100-110
16. Jensen, G., R.R. Johnson and J.M. Mercer (2000), “Efficient Use of Commodity Futures in Diversified Portfolio", The Journal of Futures Markets, Vol. 20(5), pp. 489-506
17. Kaplan, P. D. and Lummer, S.L., (1998), “Update: GCSI collateralized futures as a hedging and diversification tool for institutional portfolios”, The Journal of Investing, Winter, pp. 11 -17.
18. Lee, C., Leuthold. R., and Cordier, J. (1985, July/August). “The slock market and commodities Futures market: Diversification and Arbitrage Potential”, Financial Analysts Journal, pp. 53-60
19. Lummer, S.L. and L.B. Siegel (Summer 1993), “GSCI Collateralized Futures: A Hedging and Diversi_cation Tool for Institutional Portfolio" The Journal of Investing, Vol: Summer, pp. 75-82.
20. Roache, S.K. (2008), “Commodities and Market Price of Risk", IMF Working Paper, WP/08/221.
21. Van Thi Tuong Nguyen and Piet Sercu (November, 2010), “Tactical Asset Allocation with Commodity Futures: Implications of Business Cycle and Monetary Policy”, Working Paper
22. Weiser S. (2003), “The Strategic Case for Commodities in Portfolio Diversification", Commodities Now, pp. 7-11