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International Journal of Current Microbiology and Applied Sciences (IJCMAS)
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National Academy of Agricultural Sciences (NAAS)
NAAS Score: *5.38 (2017)
[Effective from January 1, 2017]
For more details click here

ICV 2017: 100.00
Index Copernicus ICI Journals Master List 2017 - IJCMAS--ICV 2017: 100.00
For more details click here
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PRINT ISSN : 2319-7692
Online ISSN : 2319-7706
Issues : 12 per year
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Editor-in-chief: Dr.M.Prakash
Index Copernicus ICV 2017: 100.00
NAAS RATING 2018: 5.38

Int.J.Curr.Microbiol.App.Sci.2018.7(11): 40-46
DOI: https://doi.org/10.20546/ijcmas.2018.711.007


Price Discovery and Co-Integration Analysis between Spot and Futures Prices of Refined Soy Oil in India
Ravindra Singh Shekhawat, K.N. Singh, Achal Lama and Bishal Gurung
ICAR-Indian Agricultural Statistics Research Institute, New Delhi, India
*Corresponding author
Abstract:

Futures market is one to mitigate the risk of prices. There is a more important question to know regarding prices, both spot and futures, whether spot affects futures prices or vice-versa. The present study examined the co-integration between spot and futures prices of agricultural commodities. The daily spot and futures price data of refined soy oil were obtained from the website of National Commodity and Derivative Exchange (NCDEX), Mumbai. Augmented Dickey-Fuller (ADF) unit root test, Johansen’s co-integration test and Vector Error Correction Mechanism (VECM) model were used to achieve the objectives of the study. Major findings of the study revealed that, the results of the Augmented Dickey-Fuller (ADF) unit root test for refined soy oil showed that the level data were non-stationary but their first differences were stationary. This implies the presence of unit root in the spot and futures price series of all the commodities. Hence, both the series were integrated of the order 1 i.e. I (1). Further, the Johansen’s co-integration test revealed that the spot and futures prices series were co-integrated. The results of vector error correction mechanism (VECM) showed that the causality of refined soy oil were bi-directional i.e. both spot and futures prices influenced each other equally and hence efficient price discovery.


Keywords: Co-integration, Spot prices, Futures prices, Causality, Price discovery
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How to cite this article:

Ravindra Singh Shekhawat, K.N. Singh, Achal Lama and Bishal Gurung. 2018. Price Discovery and Co-Integration Analysis between Spot and Futures Prices of Refined Soy Oil in India.Int.J.Curr.Microbiol.App.Sci. 7(11): 40-46. doi: https://doi.org/10.20546/ijcmas.2018.711.007