Do Futures Benefit Indian Coffee Producers?

Dey, Kushankur and Sivakumar, Alur (2012) Do Futures Benefit Indian Coffee Producers? International Journal of Economic Policy in Emerging Economies, 5 (4). pp. 318-341.

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Coffee futures market needs to be efficient to benefit the producers. This paper explores whether this market provides the environment of hedging. In addition, we examine informational efficiency in the futures to justify the criteria for adequacy of hedging. The study is significant as India has over five years of experience with coffee futures market in a software-enabled trading environment. We use modified Pantula principle in testing co-integration and perform weak exogeneity test to draw better inferences on efficiency. The first level analysis shows excessive basis risk with negative hedge-effectiveness. At a further level, findings seem to corroborate the results of first level analysis significantly. The paper establishes that coffee futures market does not satisfy the criteria of hedging and spot markets are efficient compared to the futures.

Item Type: Article
Uncontrolled Keywords: hedging; informational efficiency; coffee futures; India
Subjects: Marketing > Brand Management
Divisions: Marketing Management
Depositing User: Mr. Muralidhara D
Date Deposited: 22 Sep 2018 16:25
Last Modified: 10 Jan 2019 09:10

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