Futures market is one to mitigate the risk of prices. There is a more important question to know regarding prices, both spot and futures, whether spot affects futures prices or viceversa. The present study examined the co-integration between spot and futures prices of agricultural commodities. The daily spot and futures price data of refined soy oil were obtained from the website of National Commodity and Derivative Exchange (NCDEX), Mumbai. | Price discovery and co-integration analysis between spot and futures prices of refined soy oil in India
