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Price Discovery in India’s Agricultural Commodity Futures Markets

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  • Elumalai, K.
  • Rangasamy, N.
  • Sharma, R.K.

Abstract

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Suggested Citation

  • Elumalai, K. & Rangasamy, N. & Sharma, R.K., 2009. "Price Discovery in India’s Agricultural Commodity Futures Markets," Indian Journal of Agricultural Economics, Indian Society of Agricultural Economics, vol. 64(3), pages 1-9.
    • Handle: RePEc:ags:inijae:204633
    DOI: 10.22004/ag.econ.204633
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    References listed on IDEAS

    as
    1. Paul Brockman & Yiuman Tse, 1995. "Information shares in Canadian agricultural cash and futures markets," Applied Economics Letters, Taylor & Francis Journals, vol. 2(10), pages 335-338.
    2. Anne E. Peck, 1976. "Futures Markets, Supply Response, and Price Stability," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 90(3), pages 407-423.
    3. Yang, Jian & Leatham, David J., 1999. "Price Discovery in Wheat Futures Markets," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 31(2), pages 359-370, August.
    4. Ge, Yuanlong & Wang, H. Holly & Ahn, Sung K., 2008. "Implication of Cotton Price Behavior on Market Integration," 2008 Conference, April 21-22, 2008, St. Louis, Missouri 37623, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    5. Zapata, T. Randall Fortenbery & Armstrong, Delroy, 2005. "Price Discovery in the World Sugar Futures and Cash Markets: Implications for the Domincan Republic," Staff Paper Series 469, University of Wisconsin, Agricultural and Applied Economics.
    6. Robert D. Weaver & Aniruddha Banerjee, 1990. "Does futures trading destabilize cash prices? Evidence for U. S. live beef cattle," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 10(1), pages 41-60, February.
    7. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-1580, November.
    8. Ali F. Darrat & Shafiqur Rahman, 1995. "Has futures trading activity caused stock price volatility?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 15(5), pages 537-557, August.
    9. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501.
    10. Sohbet Karbuz & Adusei Jumah, 1995. "Cointegration and commodity arbitrage," Agribusiness, John Wiley & Sons, Ltd., vol. 11(3), pages 235-243.
    11. Colin A. Carter, 1989. "Arbitrage opportunities between thin and liquid futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 9(4), pages 347-353, August.
    12. Mattos, Fabio & Garcia, Philip, 2004. "Price Discovery In Thinly Traded Markets: Cash And Futures Relationships In Brazilian Agricultural Futures Markets," 2004 Conference, April 19-20, 2004, St. Louis, Missouri 19019, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
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    Cited by:

    1. Sarveshwar Kumar Inani, 2018. "Price Discovery and Efficiency of Indian Agricultural Commodity Futures Market: An Empirical Investigation," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 16(1), pages 129-154, March.

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