A Study on Lead-Lag Relationship between Futures and Spot Markets in Case of Agricultural Commodity Derivatives in India

Abstract

In the long run, futures return was leading the spot return in case refined soya oil and chana. Similarly spot return was leading the futures return in case of soya bean and castor seed. In the short run, futures return was leading spot return in case of guar seed and spot return was leading futures return in case of castor seed. There was a bidirectional causality found in case of refined soya oil, chana and soya bean.