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This paper studies the futures markets for maize and wheat in India in order to determine their efficiencies. Cointegration and error correction models are used to determine the presence of cointegration and short-run equilibrium relationship between the futures and spot prices. The convergence of the futures and spot price series suggests that futures markets play the expected roles of price discovery and risk management. Although the futures market is found to be an unbiased predictor of future spot price, it is weakly inefficient for both commodities because past futures and spot prices had significant impact on the current spot prices. Also, price volatility clustering is not found in the price series which is an indication that price movements are due to normal fundamentals of demand and supply. On the basis of price discovery and risk management, the study advocates for more participation in the futures market and the formulation of policies that would enhance greater working efficiency of the futures markets.

A Study of the Efficiencies of Maize and Wheat Futures Markets in India