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Effect of Futures Trading on the Volatility of Cluster Beans Prices in Rajasthan


R.K. Bannor



Indian Journal of Economics and Development
Year : 2016, Volume : 12, Issue : 3
First page : ( 421) Last page : ( 430)
Print ISSN : 2277-5412. Online ISSN : 2322-0430.
Article DOI : 10.5958/2322-0430.2016.00157.8

Effect of Futures Trading on the Volatility of Cluster Beans Prices in Raj as than

Bannor R.K.*
University of Energy and Natural Resources, Sunyani-Ghana

*Corresponding author’s email:

JEL Codes C81, C82, E37, E65, Q13

Online published on 6 September, 2016.

The study assessed effect of futures trading on cluster beans price volatility in selected three markets of Rajasthan during the period of 2003–2015 using symmetric GARCH (1, 1), and asymmetric EGARCH (1, 1) and TGARCH (1, 1) models. The results indicate futures trading have significant effect in reducing cluster bean prices volatility in various selected markets of Rajasthan. In addition, averagely among the three cluster beans selected markets in Rajasthan, prices in Anoopgarh showed lower volatility according to the models used compared to Sri Ganganagar. However, Hanumangarh showed the highest price volatility from shocks. The persistence of shocks was however longer in Sri Ganganagar market compared to Anoopgarh with the lowest persistence of shocks on volatility recorded in Hanumangarh. The results further show asymmetric effect of prices volatility whereby cluster bean market prices respond with much more volatility to unexpected increases in prices (good news) than it does to decreases in prices (bad news).

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