The present study aimed to study price movement of Green gram i.e. seasonal variation, price volatility and co-integration among the major Green gram markets in Maharashtra. For study purpose the data related to monthly average prices of Green gram were collected from major markets of Maharashtra State viz. Akola, Latur, Amravati and Jalgaon for the period 2003–2013. Moving average method used to study seasonal variations. The econometric tools like ADF test, Johansen's Multiple Co-integration test, Granger Causality Test and ARCH-GARCH model were used to study price volatility and cointegration among different markets. The results of study showed that the prices of Green gram were higher in the months from October to December in all selected markets. The cyclical variation observed in the prices of Green gram in the selected markets. For all selected markets the price series showed the consequences of unit root and were stationary at first difference. The selected markets show long run equilibrium relationship and co-integration between them. Most of the markets showed bidirectional Causality influence on Green gram prices of each other. Akola, Latur, Amravati and Jalgaon market, showed that volatility shocks are not quite persistent in these markets.
ADF test, ARCH-GARCH, Co-integration, Granger Causality Test, price movement, price volatility, seasonal variation
