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Abstract
An efficient commodity futures market provides producers and consumer not only with correct price signals but also with tools for managing price risk. The futures market is developing in India. Now days, it attracts number of investors in the futures market. The futures market has to decide the prices of a commodity on the basis of demand and supply. At this juncture, there are many complications related to price signals, volatility spillovers, price discovery in spot and futures of Indian commodity market. It is important to know about the bi directional and unidirectional relationship between future and Spot markets in India, price discovery process and price forecasting in Indian agricultural commodities. The study analyses the efficiency of commodity futures in price discovery of turmeric and chilly traded in NCDEX for 2016 – 2018.