Kabi, R., Panda, P. and Chari, L.
Price discovery in agricultural commodities markets for India: A case of cotton - Management and Labour Studies - 48(4), Nov, 2023: p.478-496
This study applies vector autoregression to capture the relationships among inflation, cotton spot and futures price. Further, the autoregressive distributed lag model has been applied to capture the impact of rainfall on the cotton spot and futures price. The result of this study reveals that cotton spot price positively impacts cotton futures, while rainfall negatively impacts the price of cotton futures. There is no impact of inflation on cotton spot and futures markets. Due to the sensitivity of crops to rainfall, the monsoon plays a vital role in price discovery in the agricultural market. Similarly, inflation is another significant issue linked to agricultural prices. Further, any movement in futures prices driven by the speculative activity of traders in the commodity derivatives does not contribute to changes in the spot prices. – Reproduced
https://journals.sagepub.com/doi/full/10.1177/0258042X231158408
Price discovery in agricultural commodities markets for India: A case of cotton - Management and Labour Studies - 48(4), Nov, 2023: p.478-496
This study applies vector autoregression to capture the relationships among inflation, cotton spot and futures price. Further, the autoregressive distributed lag model has been applied to capture the impact of rainfall on the cotton spot and futures price. The result of this study reveals that cotton spot price positively impacts cotton futures, while rainfall negatively impacts the price of cotton futures. There is no impact of inflation on cotton spot and futures markets. Due to the sensitivity of crops to rainfall, the monsoon plays a vital role in price discovery in the agricultural market. Similarly, inflation is another significant issue linked to agricultural prices. Further, any movement in futures prices driven by the speculative activity of traders in the commodity derivatives does not contribute to changes in the spot prices. – Reproduced
https://journals.sagepub.com/doi/full/10.1177/0258042X231158408