This GitHub repository contains the replication material for the published journal article titled Efficiency of Wheat Futures across APMC Mandis. Full text of the paper is available here. The purpose of this repository is to provide researchers and interested parties with access to the data, code, and supplementary materials necessary to replicate the findings presented in the article.

Commodity derivative markets, price discovery, risk management functions, Indian agriculture, Cointegration test, Vector Error Correction Model (VECM) and Information Share (IS) measures. Agricultural Produce Marketing Committee (APMC) mandis, Price return series, states of India, wheat futures contracts, futures market dominates the spot markets, government, frequent bans.

You are free to use any of the material in this repository for your research or in any publication. The author will be pleased if you cite the original journal article:

Singh, R.K. (2023). Efficiency of Wheat Futures across APMC Mandis. J. Quant. Econ. (2023). https://doi.org/10.1007/s40953-023-00348-9

The repository is organized as follows:

• 1Descriptive_stats.R : This file contains the code for obtaining results of Table 1 and Table 2 in the paper.
• 2Unit_root_test.R : for Table 3.
• 3Cointegration_Test.R : for Table 4.
• 4VECM.R : for Table 5.
• 5Infromation_share.R : for Table 6.
• LICENSE.txt : This file contains license. It is not necessary for replication. It is included here because it is a good practice for a github repository to have it.
• README.md: This file, provides an overview of the repository and instructions for replication.
• Spot_Future.xlsx : This file will contain the dataset used in the study. It is not public yet but will be uploaded soon.
• dummy_data.xlsx : This is a dummy dataset. It is drawn from normal distribution with mean and standard deviation as mentioned in Table 2 of the paper. This dataset will not reproduce the results of the paper. It has exactly the same dimensions as the orginal dataset. If you are going to use this dataset, please replace the name of the dataset in all Rscript files from "Spot_Future" to "dummy_data".

Note that the codes were written on R version 4.1 . To replicate the study's findings, follow the steps below:

Coming soon

If you encounter any issues with the replication material or have questions related to the study, feel free to open an issue on this GitHub repository. Additionally, the author welcomes any feedback or suggestions for improvement.

Review and adhere to the license terms when using the materials.

If you need to reach out to the author of the journal article, you can do so using the following contact information:

Author Name: Rahul Kumar Singh

• Email: [email protected]
• Linkedin
• Research Gate
• twitter
• homepage
• Google Scholar

The study was carried out when the author was a PhD student at IIT Guwahati in the department of Humanities and Social Sciences.

Thank you for your interest in replicating the study. I hope this repository facilitates your research and contributes to the scientific community's transparency and reproducibility efforts. If you have any further questions or need additional assistance, please do not hesitate to contact.