Access the full text.
Sign up today, get DeepDyve free for 14 days.
W. Crowder, Anas Hamed (1993)
A cointegration test for oil futures market efficiencyJournal of Futures Markets, 13
C. Granger (1969)
Investigating causal relations by econometric models and cross-spectral methods
P. Varangis, U. Hess, E. Bryla, N. Scott (2003)
Innovative approaches for managing agricultural risks.
Stacie Beck (1994)
Cointegration and market efficiency in commodities futures marketsApplied Economics, 26
P. Sahoo, Rajiv Kumar (2009)
Efficiency and Futures Trading-Price Nexus in Indian Commodity Futures MarketsGlobal Business Review, 10
Abhay Abhyankar, L. Copeland, W. Wong (1995)
Nonlinear Dynamics in Real-Time Equity Market Indices: Evidence from the United KingdomThe Economic Journal, 105
S. Johansen, K. Juselius (2009)
MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEYOxford Bulletin of Economics and Statistics, 52
K. Garbade, W. Silber (1983)
Price Movements and Price Discovery in Futures and Cash MarketsThe Review of Economics and Statistics, 65
Henry Bryant, D. Bessler, Michael Haigh (2006)
Causality in futures marketsJournal of Futures Markets, 26
A. McKenzie, Bingrong Jiang, Harjanto Djunaidi, L. Hoffman, E. Wailes (2002)
Unbiasedness and Market Efficiency Tests of the U.S. Rice Futures MarketApplied Economic Perspectives and Policy, 24
A. Chowdhury (1991)
Futures market efficiency: Evidence from cointegration testsJournal of Futures Markets, 11
M. Manera, A. Cologni (2005)
Oil Prices, Inflation and Interest Rates in a Structural Cointegrated VAR Model for the G-7 CountriesFEEM Working Paper Series
P. Silvapulle, I. Moosa (1999)
The relationship between spot and futures prices: Evidence from the crude oil marketJournal of Futures Markets, 19
Craig Hiemstra, Jonathan Jones (1994)
Testing for Linear and Nonlinear Granger Causality in the Stock Price-Volume RelationJournal of Finance, 49
K. Mukherjee (2011)
Impact of Futures Trading on Indian Agricultural Commodity Market
Hiro Toda, Taku Yamamoto (1995)
Statistical inference in vector autoregressions with possibly integrated processesJournal of Econometrics, 66
B. Kumar, Priyanka Singh, A. Pandey (2008)
Hedging Effectiveness of Constant and Time Varying Hedge Ratio in Indian Stock and Commodity Futures MarketsEmerging Markets: Theory & Practice eJournal
C. Diks, V. Panchenko (2005)
A Note on the Hiemstra-Jones Test for Granger Non-causalityStudies in Nonlinear Dynamics & Econometrics, 9
Michael Osterwald-Lenum (1992)
A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test StatisticsOxford Bulletin of Economics and Statistics, 54
K. Lai, Michael Lai (1991)
A cointegration test for market efficiencyJournal of Futures Markets, 11
V. Iyer, A. Pillai (2010)
Price Discovery and Convergence in the Indian Commodities MarketERN: Other Econometric Modeling: Commodity Markets (Topic)
S. Bose (2008)
Commodity Futures Market in India: A Study of Trends in the Notional Multi-Commodity IndicesInternational Finance
C. Oellermann, B. Brorsena (1989)
Price discovery for feeder cattleFutures
C. Gilbert (1985)
Futures Trading and the Welfare Evaluation of Commodity Price StabilisationThe Economic Journal, 95
N. Kellard, P. Newbold, T. Rayner, C. Ennew (1999)
The relative efficiency of commodity futures marketsJournal of Futures Markets, 19
K. Kawamoto, S. Hamori (2011)
Market efficiency among futures with different maturities: Evidence from the crude oil futures marketJournal of Futures Markets, 31
Q. Liu (2005)
Price relations among hog, corn, and soybean meal futuresJournal of Futures Markets, 25
Jabir Ali, K. Gupta (2011)
Efficiency in agricultural commodity futures markets in India: Evidence from cointegration and causality testsAgricultural Finance Review, 71
S. Sehgal, N. Rajput, Rajeev Dua (2012)
Price Discovery in Indian Agricultural Commodity MarketsInternational Journal of Accounting and Financial Reporting, 2
N. Kellard (2002)
Evaluating Commodity Market Efficiency: Are Cointegration Tests Appropriate?Journal of Agricultural Economics, 53
Jian Yang, R. Balyeat, David Leatham (2005)
Futures Trading Activity and Commodity Cash Price VolatilityOrganizations & Markets eJournal
S. Bekiros, C. Diks (2008)
The relationship between crude oil spot and futures prices: cointegration, linear and nonlinear causalityEnergy Economics, 30
Gurpreet Sahi, Gaurav Raizada (2006)
Commodity Futures Market Efficiency in India and Effect on InflationCapital Markets: Market Efficiency
A. McKenzie, M. Holt (2002)
Market efficiency in agricultural futures marketsApplied Economics, 34
A. Malliaris, J. Urrutia (1998)
Volume and price relationships: Hypotheses and testing for agricultural futuresJournal of Futures Markets, 18
Hong Wang, B. Ke (2005)
Efficiency Tests of Agricultural Commodity Futures Markets in ChinaWiley-Blackwell: Australian Journal of Agricultural & Resource Economics
Perry Sadorsky (2000)
The empirical relationship between energy futures prices and exchange ratesEnergy Economics, 22
An-Sing Chen (2004)
Cointegration and Detectable Linear and Nonlinear Causality: Analysis Using the London Metal Exchange Lead ContractEFMA 2003 Helsinki Meetings (Archive)
Ira Kawaller, Paul Koch, T. Koch (1987)
The Temporal Price Relationship between S&P 500 Futures and the S&P 500 IndexJournal of Finance, 42
Purpose – The purpose of this paper is to study the market efficiency, unbiasedness and the direction of causality among four agricultural commodity futures contracts for a forecasting horizon of 28 days, 56 days and 84 days which are traded at National Commodity and Derivatives Exchange Ltd. Design/methodology/approach – To analyse the efficiency of futures market in Indian scenario, we focus on maize, chickpea, soybean and wheat which are among the most important agricultural commodities traded in India. In the first step, Augmented Dickey-Fuller test and nonparametric Phillips-Perron approaches have been used to examine the stationarity of all futures and spot price series. After testing the presence of cointegration in futures and spot series using Johansen’s Cointegration approach, the joint restrictions of β 0 =0, β 1 =1 and β 1 =1 on the cointegrating vectors were imposed to test whether the futures price is an unbiased predictor of spot at contract maturity. In the next step, linear Toda and Yamamoto (1995) and the nonparametric Diks and Panchenko (2006) causality tests were applied to examine the direction of causality. Finally, nonlinear test were applied on the vector error correction model (VECM) residuals to investigate whether any remaining causality is strictly nonlinear in nature. Findings – The results of cointegration tests between futures and spot prices of the selected agricultural commodities indicated a long term relationship do exist in three out of four futures contracts. However, the Wald tests results on the cointegrating vectors indicate markets as inefficient and biased. Further, analysis of short-term relationship using alternate tests of causality do not give consistent results for same commodity series indicating that results may vary due to alternate measures and specifications. Finally, if we consider the results of Diks-Panchenko test on the filtered VECM-residuals, results provide evidence that if cointegration is taken into account; neither spot nor future leads or lags the other consistently. Research limitations/implications – The results are based on the sample of four agricultural futures commodity contracts. The study can be extended to a larger sample of contracts and relative efficiency of each contract can be explored. Originality/value – There are very few studies that have explored the efficiency, unbiasedness and direction of causality using both linear and nonlinear techniques for Indian agriculture commodity futures market for different forecasting horizons.
Journal of Agribusiness in Developing and Emerging Economies – Emerald Publishing
Published: Nov 11, 2014
Read and print from thousands of top scholarly journals.
Already have an account? Log in
Bookmark this article. You can see your Bookmarks on your DeepDyve Library.
To save an article, log in first, or sign up for a DeepDyve account if you don’t already have one.
Copy and paste the desired citation format or use the link below to download a file formatted for EndNote
Access the full text.
Sign up today, get DeepDyve free for 14 days.
All DeepDyve websites use cookies to improve your online experience. They were placed on your computer when you launched this website. You can change your cookie settings through your browser.