Market efficiency of agri commodity futures market in India" an example of kharif maize

Jyothi Shiva Kumar, N. M. and Kotreshwar, G. (2017) Market efficiency of agri commodity futures market in India" an example of kharif maize. International Journal of Business and Management Invention, 6 (7). pp. 18-22. ISSN 2319 –8028

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Abstract

Efficiency of Maize futures market has been examined in terms of price transmission, price discovery and extent of volatility. This paper is an attempt to find maize futures market and its efficiency through the fulfillment of two objectives, i.e. to find out long term and short term relationship between spot and futures market by empirically testing through Stationarity test, Cointegration analysis and Granger Causality test. Daily closing spot and futures pricesof Maize was collected from NCDEX website for two kharif seasons’ contracts. The empirical tests and analyses reveals that maize spot and futures market are cointegrated in a long run and have causal relationship in short run from spot to futures market. Thus, it confirms that maize spot market is causing changes in futures market for whatever new information comes to the market in the sample period considered for the study.These tests,to fulfill the price discovery function,are estimated to help in the process of price stabilization and safeguard the interests of farmers and different stakeholders in the market.

Item Type:	Article
Uncontrolled Keywords:	Stationarity, NCDEX, Co-integration, Granger Causality
Subjects:	G Commerce > Commerce
Divisions:	Department of > Commerce
Depositing User:	C Swapna Library Assistant
Date Deposited:	07 Jun 2019 06:25
Last Modified:	28 Jun 2019 06:13
URI:	http://eprints.uni-mysore.ac.in/id/eprint/2717

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