Market Efficiency in Indian Turmeric Futures Trading Markets

Abstract

Tremendous fluctuations have been seen in the prices of agricultural commodities, including turmeric in recent years. Turmeric is branded as curcuma longa in the family Zingiberaceae. India leads in turmeric production as it produces approximately eighty to eighty-five percent of the total world production. The data for the study has been analyzed from the year 2004 to 2020, which are collected from the website NCDEX. An attempt has been made in this paper to examine the finding of price regarding turmeric in the futures market. Econometrics models, viz., Granger Causality, Johansen’s Co-Integration, and Vector Error Correction Model (VECM) are applied to analyze. The result shows that there is cointegration between turmeric predictions and spot prices. The co-integration result reveals a long-term connection between the current spot price of turmeric and its future price. Moreover, the flow of information from the futures market to the spot market is unidirectional. Error correction terms for both future & spot price series are significant in the long term. Hedgers can definitely use this information for managing risk associated with price in predicting price and managing their risk.