IDEAS home Printed from https://ideas.repec.org/a/ids/ijient/v9y2022i1p78-99.html
   My bibliography  Save this article

Price discovery and volatility transmission in the spot and futures market of pepper: an empirical analysis

Author

Listed:
  • Asha Nadig
  • T. Viswanathan

Abstract

Pepper, the 'king of spices', is one of the oldest and widely traded spices across the world over many centuries. As a commodity traded in the spot, futures and export market, global demand and supply play a crucial role in shaping pepper price and volatility. As price risks are integral to farmers and traders, forecasting successive prices will be of great help to them. The price risk can be minimised through effective hedging. The futures market provides a platform for both hedging and speculation. Hence understanding the relationship between spot and future market is essential for the traders of commodities. This paper examines the price discovery mechanism and volatility transmission between the spot and futures prices of pepper. Applying the statistical, seasonal variation and econometric models for forecasting, forecasting accuracy is tested. The Holt-Winter's model gives biased estimate of future prices. The ARIMA model is the appropriate model to forecast the price of pepper.

Suggested Citation

  • Asha Nadig & T. Viswanathan, 2022. "Price discovery and volatility transmission in the spot and futures market of pepper: an empirical analysis," International Journal of Intelligent Enterprise, Inderscience Enterprises Ltd, vol. 9(1), pages 78-99.
    • Handle: RePEc:ids:ijient:v:9:y:2022:i:1:p:78-99
    as

    Download full text from publisher

    File URL: http://www.inderscience.com/link.php?id=119621
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ids:ijient:v:9:y:2022:i:1:p:78-99. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sarah Parker (email available below). General contact details of provider: http://www.inderscience.com/browse/index.php?journalID=167 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.