International Journal For Multidisciplinary Research

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Assessing the Impact of Futures Trading Availability on Spot Market Dynamics of Indian Pepper

Author(s) Mohammed Anees YC, J Ravi Kumar
Country India
Abstract Modern agricultural tools boost productivity across crops. Pepper, a lucrative cash crop, attracts global cultivation, bolstering yields. However, heightened productivity brings risks like price fluctuations and supply-demand imbalances, impacting the market's stability and success. Utilizing futures contracts is a common strategy to mitigate risks, yet the challenge lies in ensuring the availability of futures aligned with the specific commodity and contract size. In the Indian context, where pepper futures have been introduced and withdrawn multiple times, this study seeks to examine the impact of the presence or absence of pepper futures trading on pepper spot prices. Econometric techniques such as the Johansen cointegration test, VECM, Granger causality test, and ARIMA modeling were employed to analyze market integration and price autocorrelation. Findings indicate short-term cointegration between pepper spot and futures markets, striving for long-term equilibrium. Futures were found to influence the pepper spot market. ARIMA modeling recommended ARIMA(11,1,7) during futures presence and ARIMA(1,2,2) during absence for representing distinct periods.
Keywords Pepper, futures trading, cointegration, causality and autocorrelation.
Field Mathematics > Economy / Commerce
Published In Volume 5, Issue 6, November-December 2023
Published On 2023-12-01
Cite This Assessing the Impact of Futures Trading Availability on Spot Market Dynamics of Indian Pepper - Mohammed Anees YC, J Ravi Kumar - IJFMR Volume 5, Issue 6, November-December 2023. DOI 10.36948/ijfmr.2023.v05i06.9962
DOI https://doi.org/10.36948/ijfmr.2023.v05i06.9962
Short DOI https://doi.org/gs7vzf
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