COINTEGRATION OF SPOT PRICE AND FUTURE PRICE OF PEPPER EVIDENCE FROM INDIAN COMMODITY MARKET
The paper examines the causal relationship between the price of Pepper in the spot and future market. The daily closing price of spot and future price of Pepper in National Commodities and derivatives exchange for the period from 2005 06 to 2012 13 are taken as input for the study. The relationships between the two series are analyzed by applying Pairwise Granger Causality test. Descriptive statistical analysis and Jarque Bera Test are applied to study the nature of distribution of the time series data of spot and future price of Pepper. Correlogram analysis is applied to test the presence of auto correlation in the series. The Augmented Dickey Fuller test (ADF) shows the data series of spot and future price of Pepper are stationary at first order level. Granger Causality is applied to examine the relationship between spot and future price of Pepper. The test results indicate bilateral causality between the price of Pepper in the spot and futures market.