Published Paper Details:

This study is descriptive in nature and the paper reviews the literature on commodity market and risk associated with commodity investment, the different sources of return in commodity market and the effect of different macro-economic variables like interest rate, inflation on the return. Seasonality in the return the systematic risk for the wheat, corn and soybean futures over the period close to zero in all three cases. Average returns on the contracts the same period were close to zero. Asymmetric and seasonal effect is present in commodities market Seasonality affect is absorbed in risk and return relationship of each commodity. Gold price return indicating that seasonal dummies have asymmetric effect on gold market. The seasonal dummies in risk and return part of gold price are combination of positive and negative sign The return part of Gold indicating no seasonal effect while the negative seasonal effect is observed in volatility part is observed in month of June