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Price Discovery in the Black Pepper Market in Kerala, India

Author

Listed:
  • Aviral Chopra and David A. Bessler

    (Department of Agricultural Economics, Texas A&M University, College Station, TX 77843, USA)

Abstract

We explore empirically the incidence of price discovery for black pepper in the spot market and the nearby and first distant futures markets with October 2001 to February 2003 daily data from Kerala, India. Modern time series methods of cointegration and directed acyclic graphs show that price information is discovered in the futures market; evidence is ambiguous as to whether that discovery is in the nearby (the month closest to delivery) or distant contract (delivery beyond one month into the future). This evidence is somewhat different from that reported from the United States where, for agricultural commodities, the nearby contract is clearly the centre of price discovery. Possible reasons for this difference in incidence of price discovery are discussed and questions for future research are proposed.

Suggested Citation

  • Aviral Chopra and David A. Bessler, 2005. "Price Discovery in the Black Pepper Market in Kerala, India," Indian Economic Review, Department of Economics, Delhi School of Economics, vol. 40(1), pages 1-21, January.
    • Handle: RePEc:dse:indecr:v:40:y:2005:i:1:p:1-21
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    Citations

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    Cited by:

    1. Shernaz Bodhanwala & Harsh Purohit & Nidhi Choudhary, 2020. "The Causal Dynamics in Indian Agriculture Commodity Prices and Macro-Economic Variables in the Presence of a Structural Break," Global Business Review, International Management Institute, vol. 21(1), pages 241-261, February.
    2. Xiaojie Xu & Yun Zhang, 2022. "Contemporaneous causality among one hundred Chinese cities," Empirical Economics, Springer, vol. 63(4), pages 2315-2329, October.

    More about this item

    Keywords

    Pepper; Cointegration; Directed Acyclic Graphics; Futures Markets;
    All these keywords.

    JEL classification:

    • C49 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Other
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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