Price Discovery Mechanism in Spot and Futures Market of Agricultural Commodities: The Case of India
Journal Title: FOCUS: Journal of International Business - Year 2018, Vol 5, Issue 2
Abstract
There has been increasing focus by emerging market researchers, policymakers and regulators for investigating price discovery, relationship between future and physical market and accessible trading and risk management instruments for the benefit of various stakeholders and thus contributing to the development of literature. The central question of this paper is examining the role of influence of one market on the other and the role of each market segment in price discovery in the Indian context. Johansen Vector Error Correction Model (VECM) has been employed to examine the relationship between the spot and futures prices. The cointegration results do not confirm the existence of long-run relationship between spot and futures prices. It is thus, implied that futures prices unlikely serve as market expectations of subsequent spot prices of selected agri-commodities in India and do not help in price discovery process.
Authors and Affiliations
Minakshi .
Keywords
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- EP ID EP625258
- DOI 10.17492/focus.v5i2.14383
- Views 196
- Downloads 0
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