Speed of price adjustment toward market efficiency of Indian agricultural commodity market: a market microstructure analysis of market quality

IF 2.4 Q2 AGRICULTURAL ECONOMICS & POLICY
Sreekha Pullaykkodi, Rajesh H. Acharya
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Abstract

PurposeThis study examines the semi-strong market efficiency of the Indian agricultural commodity market in light of market reforms and policies. This study investigates whether the market reforms have boosted the speed of price adjustment and influenced the market quality.Design/methodology/approachThe study used the daily data of nine agricultural commodities. To precisely capture the effects of market microstructure changes, this study split the whole data into pre- and post-ban and pre- and post-reform eras. To ascertain the velocity of price adjustment, the authors used the ARMA (1,1) model, and the ADD VRatio was employed to identify the price movement on a specific day.FindingsThis study found that full incorporation of information happens sometimes. The authors noticed no gradual progress in the quickness of price adjustment. Since both methods suggested the same result for the period, the authors confirm that market microstructure changes do not enhance market quality.Research limitations/implicationsThis research has implications for academicians, policymakers and market players.Originality/valueThe paper has twofold novelty. First, this is a contemporary topic, and very few studies have been done in the Indian agriculture context. Second, the study has implications for policymakers and government because it highlights the effects of structural changes on market quality and market efficiency.
印度农产品市场价格调整速度对市场效率的影响:市场质量的市场微观结构分析
目的本研究从市场改革和政策的角度考察了印度农产品市场的半强市场效率。本研究考察了市场改革是否提高了价格调整的速度并影响了市场质量。设计/方法/方法该研究使用了九种农产品的每日数据。为了准确捕捉市场微观结构变化的影响,本研究将整个数据分为禁令前后和改革前后。为了确定价格调整的速度,作者使用ARMA(1,1)模型,并使用ADD VRatio来识别特定日期的价格变动。发现这项研究发现,信息的充分整合有时会发生。作者们注意到,价格调整的速度并没有逐渐加快。由于这两种方法在这一时期都给出了相同的结果,作者证实了市场微观结构的变化不会提高市场质量。研究局限性/影响这项研究对学者、政策制定者和市场参与者都有影响。这篇论文有两个新颖之处。首先,这是一个当代话题,很少有人在印度农业背景下进行研究。其次,这项研究对政策制定者和政府都有影响,因为它强调了结构变化对市场质量和市场效率的影响。
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来源期刊
CiteScore
4.60
自引率
37.50%
发文量
58
期刊介绍: The Journal of Agribusiness in Developing and Emerging Economies publishes double-blind peer-reviewed research on issues relevant to agriculture and food value chain in emerging economies in Asia, Africa, Latin America and Eastern Europe. The journal welcomes original research, particularly empirical/applied, quantitative and qualitative work on topics pertaining to policies, processes, and practices in the agribusiness arena in emerging economies to inform researchers, practitioners and policy makers
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