This paper examines the trading and non-trading returns to diagnose the impact of market microstructure changes on market quality. The daily data of ten agricultural commodities traded on the National Commodity and Derivative Exchange (NCDEX) were used for the study. The data has been divided into three categories: year-wise, pre- and post-reform, pre-ban, and post-ban period. The study employs variance ratio analysis, and the results suggest high daytime and opening variances. A first-order autocorrelation detects the return predictability in the data series. A Value at Risk (VaR) and Expected Shortfall (ES) methods were employed to get more detail about the downside risk of the series. It suggested that daytime return has more risk compared to overnight return. Overall, this study suggests that market microstructure effects are visible in the Indian agricultural commodity market and hardly observe any improvement in the market quality. Since we reveal the impact of policy changes on market quality, the results will be useful for policymakers.

本文研究了交易和非交易回报，以诊断市场微观结构变化对市场质量的影响。该研究使用了在国家商品和衍生品交易所（NCDEX）交易的十种农产品的每日数据。数据分为三类：按年份、改革前后、禁令前和禁令后时期。该研究采用方差比分析，结果表明白天和开场的方差较高。一阶自相关检测数据序列中的回报可预测性。采用风险价值（VaR）和预期缺口（ES）方法来获得有关该系列下行风险的更多详细信息。这表明日间回报比隔夜回报具有更大的风险。总体而言，这项研究表明，印度农产品市场的市场微观结构效应是显而易见的，并且几乎没有观察到市场质量有任何改善。由于我们揭示了政策变化对市场质量的影响，因此结果将对政策制定者有用。