Market Efficiency between Indian & US Crude Oil Future Market.

This study explores how high frequency data can be turned to be an opportunity to generate possible trading strategies by examining the information flow direction between Indian and US Crude oil Future Markets. The profit opportunities in a market is special indicator of the market efficiency. Thus this paper simulates the trading strategies to check the efficiency of the Indian & US Crude Oil future Market. First, the informational relationship is examined on short term as well as long term basis. The results indicate that there is bidirectional information flow in long term, but in short term only US market is information provider. Next, VECM suggests that this long term and short term relationship between these two markets can be useful for formulating some trading strategies. And trading simulation confirm that very little profit opportunities exists on regular basis for hedgers. Both U.S. and Indian Future market are found to be efficient on daily basis, because there exist very little profit opportunity. But US Future market is found to be more efficient than the Indian Future market. [ABSTRACT FROM AUTHOR]