National Academy of Agricultural Sciences (NAAS)
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PRINT ISSN : 2319-7692
Online ISSN : 2319-7706 Issues : 12 per year Publisher : Excellent Publishers Email : editorijcmas@gmail.com / submit@ijcmas.com Editor-in-chief: Dr.M.Prakash Index Copernicus ICV 2018: 95.39 NAAS RATING 2020: 5.38 |
Futures market is one to mitigate the risk of prices. There is a more important question to know regarding prices, both spot and futures, whether spot affects futures prices or vice-versa. The present study examined the co-integration between spot and futures prices of agricultural commodities. The daily spot and futures price data of refined soy oil were obtained from the website of National Commodity and Derivative Exchange (NCDEX), Mumbai. Augmented Dickey-Fuller (ADF) unit root test, Johansen’s co-integration test and Vector Error Correction Mechanism (VECM) model were used to achieve the objectives of the study. Major findings of the study revealed that, the results of the Augmented Dickey-Fuller (ADF) unit root test for refined soy oil showed that the level data were non-stationary but their first differences were stationary. This implies the presence of unit root in the spot and futures price series of all the commodities. Hence, both the series were integrated of the order 1 i.e. I (1). Further, the Johansen’s co-integration test revealed that the spot and futures prices series were co-integrated. The results of vector error correction mechanism (VECM) showed that the causality of refined soy oil were bi-directional i.e. both spot and futures prices influenced each other equally and hence efficient price discovery.
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