Jyothi Shiva Kumar, N. M. and Kotreshwar, G. (2017) Price discovery dynamics of Indian maize futures market. Asian Journal of Research in Business Economics and Management, 7 (5). pp. 72-85. ISSN 2249-7307
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Price volatility is the feature of commodity market, which has been proved so, irrespective of the commodities' spot and futures trading activities and ban periods in India. This study investigates the relationship between maize spot and futures market prices and analyses the nature of price discovery process in India's maize futures market. The research methodology involves the application of unit root test to find out the stationarity of data set and the application of co-integration and granger-causality test in order to analyse the long run and short run relationship respectively between maize futures and spot market prices. Further, in order to identify and quantify the impact of long term association, VECM-Vector Error Correction Model is applied. The secondary data has been used covering the duration from 2013 to 2016 based on daily data. Closing spot price and futures price data of maize with the trading unit of 10 MT (Metric Tonnes) from NCDEX were taken. The findings indicate that there is one way co-movement of the data set. Granger causality shows one way causality from futures to spot market price. Further, level of price volatility influences the market adjustment or error correction rate and price discovery process from futures market to spot market which is highly significant. Here, maize futures market leads the spot market indicating that the maize futures market performs the function of price discovery.
| Item Type: | Article |
|---|---|
| Depositing User: | C Swapna Library Assistant |
| Date Deposited: | 11 Jun 2019 10:49 |
| Last Modified: | 11 Jun 2019 10:49 |
| URI: | http://eprints.uni-mysore.ac.in/id/eprint/2971 |
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