Testing Efficiency of Guar seed Futures: Empirical Evidence from India

Tarun, Soni
Publication date: 
JEL codes: 
C14 - Semiparametric and Nonparametric Methods: General, C32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models, G14 - Information and Market Efficiency; Event Studies.
The paper aims to study the market efficiency, unbiasedness among Guar seed futures contracts traded at National Commodity & Derivatives Exchange Ltd(NCDEX). The study has tested the market efficiency and unbiasedness with different maturities using cointegration analysis, and short-term market efficiency, using an error correction model and GARCH-M-ECM. The results suggest that futures market for guar seed is inefficient and biased in both short run and long run for all maturity periods, which may becaused by over-speculation or market manipulation. The results indicate an urgent need to provide more powers to FMC to regulate the market and penalize any insider trading, cartelization and price manipulations.
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