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

Journal of Business & Financial Affairs
Open Access

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Research Article Open Access

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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Author(s): Raghavendra RH, Velmurugan PS and Saravanan A

Keywords

Agriculture, Price discovery, Regression model, Futures, Cointegration, Agriculture, Price discovery, Regression model, Futures, Cointegration

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