alexa Relationship between Spot and Futures Markets of Selected Agricultural Commodities in India: An Efficiency and Causation Analysis
ISSN: 2167-0234

Journal of Business & Financial Affairs
Open Access

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Research Article

Relationship between Spot and Futures Markets of Selected Agricultural Commodities in India: An Efficiency and Causation Analysis

Raghavendra RH*, Velmurugan PS and Saravanan A

Department of Commerce, School of Management, Pondicherry University (A Central University), Pondicherry, 605 014, India

*Corresponding Author:
Raghavendra RH
Research Scholar
Department of Commerce
School of Management
Pondicherry University (A Central University)
Pondicherry-605 014, India
Tel: 0413-2655179
E-mail: [email protected]

Received October 15, 2015; Accepted December 29, 2015; Published January 12, 2016

Citation: Raghavendra RH, Velmurugan PS, Saravanan A (2016) Relationship between Spot and Futures Markets of Selected Agricultural Commodities in India: An Efficiency and Causation Analysis. J Bus Fin Aff 5:160. doi:10.4172/2167-0234.1000160

Copyright: © 2016 Raghavendra RH, et al. This is an open-access article distributed under the terms of the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited.

 

Abstract

This study empirically examines the market which reacts first in India by assessing the relationship between spot and future prices of agricultural commodities such as Soya bean, Chana, Maize, Jeera and Turmeric for a period from January 2010 to March 2015 traded in NCDEX, Empirical results suggest the existence of long-run equilibrium relationships between futures and spot prices for all the 5 agricultural commodities that were taken for this study. Regression model pertaining to Lead-Lag relationship between Spot and Future markets suggests that for the commodities Maize, Jeera and Turmeric, both the spot and future markets price plays the leading role in the price discovery process and said to be informationally efficient and reacts more quickly to each other.

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