Co - integration of soybean markets in India - An econometric analysis

Abstract

The present study was undertaken to analyze soybean market integration in six major regional markets locatedin Madhya Pradesh (Dewas and Ujjain), Maharashtra (Amravati and Latur) and Karnataka (Bidar and Dharwad) states ofIndia, using monthly wholesale prices of soybean during 2005 to 2020. Augmented Dickey-Fuller Unit root test indicatedthat the price series in each location are non-stationary at their levels, and stationary at their first differences.Co-integration results showed that the regional markets have price linkages and thus are spatially integrated. Johansen’smultiple co-integration tests reveals that that their existence of only two co-integration equations for selected soybeanmarkets based on likelihood-ratio test. Granger causality test explain that, Dewas market prices of Madhya Pradesh willhave influence on Maharashtra and Karnataka soybean commodity markets price, Its clearly manifest to be independentmarket for soybean prices in south India and also the bidirectional relationships don’t exist within domestic markets, butthere in Bidar and Amravati markets evidencing the interstate price influence of proximities, which indicated the pricetransmission happening in long run adjustments and the presence of short run equilibrium existed among the soybeanmarkets in India. Vector error correction estimates indicates that, extent of soybean markets integration for different lags inthe current study