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.
ABSTRACT
The study first investigates the sensitivity of major Indian financial indicators, viz. Equity Index (Nifty), Exchange Rate (USDINR), Bond (Govt 10Y Bond), Gold, Agricultural Index (N-Krishi) to ascertain the existence of significant sensitivity to standard shocks Engle and Campos-Martins (2020) either arising due to global political/economic factor or endogenous macroeconomic scenario. After that, the study undertakes the systemic spillover dynamics of Crude by estimating a self-exciting regime-switching Threshold Vector Auto-regression model based on cut-off values of Crude to test shock transmission from Crude amid major global events empirically. The findings indicate the existence of three regimes with threshold cut-offs for Crude return, viz. −2.358% and 2.294% for 2008 and 2020, respectively. After that Spillover Index is estimated across the three regimes. The findings indicate a sporadic increase in spillover during the Covid era, GFC and Oil Crisis. Despite Govt. Bond ranking high insensitivity, the spillover linkage is low. The results also indicate that, on average, systemic volatility shocks from crude oil are highest in Gold. In fact, Gold's sensitivity to crude price fluctuations escalates to new heights during the 2008–09 crisis, thus serving as a source of idiosyncratic shocks. Moreover, in recent duration, a unique see-saw kind of link has emerged between crude oil and Gold, where downward pressure by Crude on USDINR is eased by a fall in gold imports. Moreover, an analysis of the spillover pattern across the Wholesale Price Index (WPI) 2012 shows an intensification of spillover from Crude. The study is beneficial to policymakers to apply a systemic approach while empirically analyzing the spillover from a Global commodity such as Crude.