Commodity Transaction Tax (CTT)
| العنوان: | Commodity Transaction Tax (CTT) |
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| المؤلفون: | Padma Kurisetti, Swamy Perumandla |
| المصدر: | International Journal of Asian Business and Information Management. 12:16-36 |
| بيانات النشر: | IGI Global, 2021. |
| سنة النشر: | 2021 |
| مصطلحات موضوعية: | Cultural Studies, 050208 finance, Strategy and Management, 05 social sciences, Commodity, Equity (finance), Monetary economics, Computer Science Applications, Correlation, Flight-to-quality, Management of Technology and Innovation, Capital (economics), 0502 economics and business, Economics, 050207 economics, Business and International Management, Volatility (finance), Database transaction, Futures contract |
| الوصف: | This study aims to examine the time-varying correlations and volatility linkages between commodity and equity markets before and after the implementation of the commodity transaction tax (CTT) in India in 2013. The study utilizes symmetric and asymmetric DCC-EGARCH model to estimate correlation dynamics. Evidence suggests that the volatility and dynamic correlation linkages between commodities and equity markets are significantly affected by the triggering events. The time-varying correlations of Comdex-Nifty 50 show an unintended steep decline in the post-CTT period. It is an indication of a “flight to quality” phenomenon, where investors move capital from non-agricultural commodity futures to other cross markets and international markets. However, DCC of Comdex-Dhaanya pair is highly volatile in the post-CTT period and also noticed an increased correlation and volatility between the Dhaanya-Nifty 50 pair. Moreover, the correlation dynamics reveal a certain degree of interdependence between the cross markets, which are lower especially during the triggering episodes. |
| تدمد: | 1947-9646 1947-9638 |
| URL الوصول: | https://explore.openaire.eu/search/publication?articleId=doi_________::7f984d6c906724649c11ba439a0b51a0 https://doi.org/10.4018/ijabim.20210401.oa2 |
| حقوق: | OPEN |
| رقم الأكسشن: | edsair.doi...........7f984d6c906724649c11ba439a0b51a0 |
| قاعدة البيانات: | OpenAIRE |
| تدمد: | 19479646 19479638 |
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