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Market efficiency: A study of indian agricultural commodities futures market

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  • Amit

Abstract

Futures markets were established for price discovery and risk mitigation. It is required that futures prices to be unbiased estimator of future spot prices as per “Eficient Market Hypothesis”. The efi ciency was tested for both short term and long term considering the relationship between spot and futures prices. Cointegration test confirms the presence of long term stable relationship (long-run eficiency) between spot and futures prices. The results indicated that in the long run futures prices were predicting the future spot prices eficiently. Short run market eficiency was tested by Error Correction method whose results show that all the agricultural commodities fail the test of short-term market efi ciency and unbiasedness. Therefore, in the short run there is a chance of arbitrage which can lead to abnormal profits from additional information.

Suggested Citation

  • Amit, 2023. "Market efficiency: A study of indian agricultural commodities futures market," Indian Journal of Agricultural Marketing, Indian Society of Agricultural Marketing, vol. 37(1).
    • Handle: RePEc:ags:injagm:399885
    DOI: 10.22004/ag.econ.399885
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