Efficiency of Wheat Futures across APMC Mandis

Rahul Kumar Singh ()
Additional contact information
Rahul Kumar Singh: Indian Institute of Technology

Journal of Quantitative Economics, 2023, vol. 21, issue 3, No 10, 701 pages

Abstract: Abstract Commodity futures markets are known for their price discovery and risk management functions. If the futures market is reliable, these functions could work as potential solutions to the current perils of Indian agriculture. The paper examines the reliability of the wheat futures market based on results of the Cointegration test, Vector Error Correction Model (VECM) and Information Share (IS) measures. Previous research in this field has been limited to studying one wheat spot market with the futures market. In this study, Agricultural Produce Marketing Committee (APMC) mandis are considered to be the regional spot markets. Price series of seven APMC mandis corresponding to seven different states of India are studied, along with four wheat futures contracts. Cointegration results show that the futures market is efficient except for the case of the Haryana APMC mandi. VECM results show that futures market leads the APMC mandis except for two cases out of 28. According to IS measures, the futures market dominates the spot markets in the price discovery process except for the Haryana APMC mandi. Overall, the results imply that the futures market is reliable, and government must not hurt it with frequent bans.

Keywords: Price discovery; Wheat futures; Cointegration; Market efficiency; Information share (search for similar items in EconPapers)
JEL-codes: G10 G14 Q13 Q14 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s40953-023-00348-9 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:jqecon:v:21:y:2023:i:3:d:10.1007_s40953-023-00348-9

Ordering information: This journal article can be ordered from
http://www.springer.com/economics/journal/40953

DOI: 10.1007/s40953-023-00348-9

Access Statistics for this article

Journal of Quantitative Economics is currently edited by Dilip Nachane and P.G. Babu

More articles in Journal of Quantitative Economics from Springer, The Indian Econometric Society (TIES) Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().