VOLATILITY AND LIQUIDITY SPILLOVERS IN AGRICULTURAL COMMODITY MARKETS: EMPIRICAL EVIDENCE FROM INDIA

Abstract

The study examines volatility and liquidity spillovers between future and spot commodity markets for Channa, Gaur Seed, Soyabean, Kapas, Pepper, Potato, Refined Soy Oil and Wheat. Volatility is modelled using EGARCH whereas spillovers are examined by Granger
causality test. Empirical results show that except for Pepper, Potato and Soybean it is the Spot Volatility that causes future volatility. Also, for five commodities including channa, gaur seed, soybean, pepper and refined soy oil the unexpected spot trading volume leads
the unexpected future trading volume.