A STUDY OF PRICE DISCOVERY PROCESS INCOMMODITIES MARKET IN INDIA: A CASE STUDYOF TURMERIC MARKET

Price discovery is the process of determining the price of a commodity security or asset by competing buyers and sellers. The process of price discovery has gained considerable importance in commodity market as it is linked to informational efficiency and arbitrage strategies. This study analyses whether Turmeric futures market serves as a price discovery mechanism for spot market prices and vice versa. The analysis involves the use of econometric tools like Augmented Dickey Fuller test (ADF), Granger Causality test and cointegration technique. The daily closing data from 1 st April 2016 to 31st March 2018 have been used for the study. The study reveals the existence of price discovery mechanism in turmeric market, where spot markets are more efficient in discovering the price of turmeric.