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• W3168045267 abstract "Purpose This paper aims to investigate price responses and volatility spillovers between commodity spot and futures markets. The study ultimately seeks the evidence-based claims on the efficiency of the long run and short run horizontal price transmissions from futures markets to spot markets. Design/methodology/approach This study used the most recent daily price series of pepper, cardamom and rubber, during the period 2004–2019, use “cointegration-ECM-GARCH framework” and verify the persisting validity of the “expectancy theory” of commodity futures pricing. Findings The results offer overwhelming evidence of futures market dominance in the price discoveries and volatility spillovers in spot markets. However, this paper finds asymmetric responses between cash and futures prices across markets. The hedging efficiency of futures contracts is commodities specific’ where spices futures are more efficient than the rubber futures. Practical implications The study passes on vital information to the producers and traders of spices and rubber who have a potential interest in the use of futures contracts to make profits from arbitrage between futures and cash markets. Originality/value The paper is unique in terms of understanding asymmetric price linkages in markets for plantation crops." @default.
• W3168045267 created "2021-06-22" @default.
• W3168045267 creator A5004875414 @default.
• W3168045267 date "2021-06-02" @default.
• W3168045267 modified "2023-09-26" @default.
• W3168045267 title "Measuring volatility spillovers and asymmetric responses of Agri commodity prices: evidence from spices and rubber futures in India" @default.
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• W3168045267 doi "https://doi.org/10.1108/igdr-10-2020-0147" @default.
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