| Summary: | The paper is an attempt to assess the Indian agricultural commodity futures market in terms of price discovery, hedging efficiency, and volatility. Cointegration test, Granger causality test, and vector error correction (VEC) model, ordinary least squares (OLS) regression, exponential generalised autoregressive conditional heteroskedasticity (EGARCH) model, value-at- risk (VaR) model are employed to achieve the objectives of the study. It is observed that the spot market leads the futures market. The lead-lag relationship varies from commodity to commodity. Additionally, downside risk exists in both the markets, and volatility is transmitted from the spot market to the futures market. The agricultural commodity futures market is found to lack hedging efficiency.
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