Dynamic Information Flow between Spot and Future Markets in Agro-Commodities Markets in India

Authors

  • Vivek Chandra Kuchhal PCJ School of Management, Maharaja Agrasen University, Baddi
  • Anil Kumar Parti Maharaja Agrasen University, Baddi
  • Ravi Kumar Gupta Maharaja Agrasen Institute of Management Studies, New Delhi

DOI:

https://doi.org/10.33516/maj.v57i7.91-96p

Keywords:

No Keywords.

Abstract

With globalisation in place after 1991 and other regulatory changes, commodity markets in India too have been developing at a fast pace. This article identifies the price discovery mechanism in some of the actively traded agricultural commodities on NCDEX, covering all the four active categories of commodities, namely, cereals, oilseeds, spices and guar complex, using the data in the time period after SEBI has taken over as regulator of commodity markets in India. An extensive literature review is conducted to identify the various processes and factors leading to an efficient price discovery process in spot and future commodity markets. VAR model is used to model the daily price data of over six years for ten commodities and arriving at conclusions regarding causality and the direction of causality between spot and future prices of chosen agri-commodities. The findings would greatly help the Government, regulators and the investors to understand the price discovery behaviour in commodity markets and plan their interventions in a timely manner.

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Published

2022-07-01

How to Cite

Kuchhal, V. C., Parti, A. K., & Gupta, R. K. (2022). Dynamic Information Flow between Spot and Future Markets in Agro-Commodities Markets in India. The Management Accountant Journal, 57(7), 91–96. https://doi.org/10.33516/maj.v57i7.91-96p

Issue

Volume 57, Issue 7, July 2022

Section

Agri Commodity Market
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