This paper evaluates how efficient Indian cotton futures prices in predicting future spot prices during January, 2013 to December, 2015. To examine the efficiency of cotton futures market, the present study used Vector Auto Regression (VAR) model and Granger causality tests. Augmented Dickey-Fuller test is initially applied to examine whether futures and spot prices are stationary or not. Results show that both the variables are stationary at level form. The VAR model suggests that lag value of futures has more influence on spot price of cotton. The causality test further indicates that futures markets have negligible ability to predict subsequent spot prices for cotton. The results of this study are useful for various stakeholders who are actively participating in agricultural commodity markets such as producers, traders, commission agents, commodity exchange participants, regulators and policy makers. Keywords: Cotton futures, Spot price, Efficiency, Granger- Causality test, VAR and NCDEX.
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- THE INTERNATIONAL MANAGER / ISSN: 2348-9413 (Online); 2348-9405 (Print)
- PRICE DISCOVERY EFFICIENCY OF COTTON FUTURES MARKET IN INDIA: AN ECONOMETRIC ANALYSIS (Pages 77-96) by Dr. Gouri Prava Samal in THE INTERNATIONAL MANAGER / ISSN: 2348-9413 (Online); 2348-9405 (Print)
PRICE DISCOVERY EFFICIENCY OF COTTON FUTURES MARKET IN INDIA: AN ECONOMETRIC ANALYSIS (Pages 77-96) by Dr. Gouri Prava Samal in THE INTERNATIONAL MANAGER / ISSN: 2348-9413 (Online); 2348-9405 (Print)
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