AN EMPIRICAL ANALYSIS OF PRICEDISCOVERY EFFICIENCY OF THE MAIZE FUTURESMARKET IN INDIA

Purpose - The present study examines the efficacy of the maize futures market of India in forecasting future spot pricesfor April 2020-March 2022.

Design/methodology/approach - In this study, Granger causality tests and the Vector Auto Regression (VAR) model are used. The initial application of the Augmented Dickey-Fuller (ADF) test was to observe the stationarity in the spot and futures price series.

Findings - The findings specified that allthe variables are stationary at the point of the first difference.According to the VAR model, neither the lag value of futures nor the same spot price of maize has a substantial impact on each other. Furthermore, the Granger Causality test suggested that the futures market has an insignificant ability to predict subsequent spot prices of maize in India.

Originality/value - The results of this study will be beneficial for different players namely hedgers, speculators, commodity exchanges, policymakers, researchers, etc. who have a noteworthy interest in the agricultural commoditymarkets.