*Research Supervisor, Associate Professor- Department of Business Administration & Principal, PSGR Krishnammal College for Women, Peelamedu, Coimbatore
**Research Scholar- PhD, Department of Business Administration, PSGR Krishnammal College for Women, Peelamedu, Coimbatore
Online published on 12 July, 2019.
The study analyses market efficiency and volatility spillover of pepper future and spot prices traded in NMCE. The period of the study is from 01/01/2016 to 31/03/2018. The study uses Johansen's cointegration test Granger causality test and VECM to analyse the efficiency of the pepper market to reflect the fair pricing of the commodity which is an integral part of efficiency of a market. The results reveal the inefficiency of future market in fairly disseminating the price. The volatility spillover results also confirm the stronger spillover effects from spot to future market of Pepper.
Cointegration, Efficiency, Granger causality, GARCH Model, VECM
