Testing the Efficiency of Indian Wheat Futures

Efficiency of wheat futures trading has been analysed in terms of price transmission, price discovery and extent of volatility. Cointegration analysis reveals a long-run equilibrium owing to price transmission between futures and spot markets for three contracts. Analysis on price discovery indicates hedging only in one contract and the rest experience speculative prices. GARCH results exhibit persistence of price volatility. The above analyses point the inefficiency in wheat futures. This paper concludes that farmer participation through institutional intervention and innovation will improve its efficiency substantially.