Price Discovery Mechanism and Volatility Spillover between National Agriculture Market and National Commodity and Derivatives Exchange: The Study of the Indian Agricultural Commodity Market

Agricultural commodity markets are critical to the global economy. This study investigates price discovery mechanism, lead-lag relationship, and volatility spillover between spot prices on National Agriculture Market (E-NAM) futures Commodity Derivative Exchange (NCDEX) in Indian agricultural market. The Johansen Cointegration, Vector Error Correction (VEC), Granger causality tests, bivariate GARCH models were applied daily data from April 2016 December 2020 for twelve commodities traded E-NAM NCDEX. We discovered long-run relationship using Cointegration test concluded that NCDEX market is dominant lead having a unidirectional or bidirectional relationship. Furthermore, model suggested most commodities, except bajra, barley, jeera, which have no spillover. study’s findings important implications various stakeholders, including policymakers, farmers, investors, traders, others who want reduce risks by information market’s prices.