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.

中文翻译：

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衡量农产品价格的波动溢出和不对称反应：来自印度香料和橡胶期货的证据

目的

本文旨在研究商品现货市场和期货市场之间的价格反应和波动溢出。该研究最终寻求对从期货市场到现货市场的长期和短期横向价格传导效率的循证主张。

设计/方法/方法

本研究使用2004-2019年胡椒、豆蔻和橡胶的最新每日价格序列，使用“协整-ECM-GARCH框架”验证商品期货定价“预期理论”的持续有效性。

发现

结果提供了压倒性的证据，证明期货市场在现货市场的价格发现和波动溢出方面占据主导地位。然而，本文发现不同市场的现金和期货价格之间的反应不对称。期货合约的对冲效率是特定于商品的，其中香料期货比橡胶期货更有效率。

实际影响

该研究将重要信息传递给香料和橡胶的生产商和贸易商，他们对使用期货合约从期货和现货市场之间的套利中获利有潜在兴趣。

原创性/价值

该论文在理解种植园作物市场中的不对称价格联系方面是独一无二的。