AN ASSESSMENT OF LONG RUN RELATIONSHIP BETWEEN SPOT AND FUTURES PRICES OF SUGAR IN INDIA

POOJA GAMIT¹*, ALPESH LEUA², VISHAL TANDEL^3
1N. M Collage of Agriculture, Navsari Agricultural University, Navsari, 396450, Gujarat, India
²ASPEE Institute of AgriBussiness Management, Navsari Agricultural University, Navsari, 396450, Gujarat, India
³ASPEE Institute of AgriBussiness Management, Navsari Agricultural University, Navsari, 396450, Gujarat, India
* Corresponding Author : gamitpoojav@gmail.com

Received : 23-02-2018     Accepted : 11-06-2018     Published : 15-06-2018
Volume : 10     Issue : 11       Pages : 6292 - 6294
Int J Agr Sci 10.11 (2018):6292-6294

Keywords : CGR, Descriptive statistics, ADF test, Johnsan test, spot price and futures price, long run relationship
Conflict of Interest : None declared
Acknowledgements/Funding : Authors are highly thankful to Navsari Agricultural University, Navsari, 396450, India
Author Contribution : All author equally contributed

This paper examined the assessment of long run relationship between spot and futures prices of sugar in India. For the purpose of the paper to understand the long run relationship between spot and futures prices of sugar over the monthly comparison, for these studies used the Eview software. Entire study period has been divided into two halves i.e., 1995 to 2005 and 2005 to 2015. The present study initiates and analyzes the trends in area, production and yield, wholesale price indices of sugarcane crop by using simple descriptive statistics; linear growth rates (compound growth rates). The results of this study showed CGR, it was positive and higher in all variables during post-futures period. But wholesale price index showed that growth rate during post-futures period (2005-15) was higher as compared to pre futures period (1995-2005). Descriptive statistics showed that sugar futures and spot price not follow normal distribution. The result of ADF and Johnsan test implies that the stationarity test the presence of any long run relationship reveals co-integration of the spot market with futures market. The sugar indicates two co-integrating equations in its spot and futures market, implying that they have tight co-movements and if they move on their own because of non-stationarity they don’t go far from each other.

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