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Testing the Efficiency of Agriculture Commodities Market in India Prof Sanjay Sehgal

Testing the Efficiency of Agriculture Commodities Market in India Prof Sanjay Sehgal Abhishek Singh.

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Testing the Efficiency of Agriculture Commodities Market in India Prof Sanjay Sehgal

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  1. Testing the Efficiency of Agriculture Commodities Market in IndiaProf Sanjay Sehgal Abhishek Singh

  2. Place of agriculture. Agriculture contributes about 22% to the GDP of the Indian economy.It employees around 57% of the labor force on a total of 163 million hectares of land.

  3. Institutional development, which improves the liquidity and efficiency of commodity markets, would impact upon a large fraction of India’s population. It imposes considerable direct costs upon the government, and has led to a suboptimal resource allocation.

  4. Tetable Hypothesis1) The introduction of commodity future has increased spot market efficiency2) Future prices are determined on the basis of cost of carry model

  5. DATA SOURCE Spot Prices :NCDEX Forward Prices :NCDEX Transportation cost: Warehousing Cost :CWC ,SWC

  6. Random walk testSerial correlation coefficient testRuns test Methodology

  7. Cost-of-carry Model Futures price = Spot Price + Carry Cost Forward pricing with transportation cost F = (S0 +U) e rT F = S0e(r+u)T Forward pricing with convenience Yield F = S0e(r+u-y)T

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