ABSTRACT
The research article examined the causal nexus in between two listed (NCDEX) benchmark agricultural futures indices in India, say, NKRISHI (Weighted Index) and AGRIDEX (Return based Index). Daily closing futures prices has been retrieved from official platform of NCDEX dated from April 1, 2018 to January 29, 2020 as first period (Pre-COVID19) and from January 30, 2020 to October 11, 2021 as second period (During COVID19). The causal nexus has been examined by using of Unit Root test (ADF), pairwise Granger Causality and Johansen Co-integration tests. The empirical investigation help to comprehend that there is no significant relationship (long-run as well as short-run) in between AGRIDEX and NKRISHI indices in both Pre-COVID19 and During-COVID19 periods. The results concluded that there is not a big impact on both the indices after the COVID19 outbreak. The Results highlight the efficiency of both the markets, say, NKRISHI and AGRIDEX futures indices, and also establish relevant information for investors, policymakers, researchers and hedgers for future investments and further analysis. It contributes to the market efficiency literature for agricultural futures market.