Neeti Jain – Indian Institute of Foreign Trade, B-21 Qutub Institutional Area New Delhi 110016, India

Niti Nandini Chatnani – Indian Institute of Foreign Trade, B-21 Qutub Institutional Area New Delhi 110016, India

Agricultural commodity
Futures markets


Abstract: The introduction of index futures was a landmark event for glob­al commodity markets. It has been blamed by regulators and academicians for its role in food price surges from time to time. This paper examines the price discovery and volatility spillover relationship among agricultural in­dex futures globally. Results from the study reveal that index futures play a dominant role in contributing to price discovery. The price leadership of the futures market, although found to be strong, is diminished in the presence of stringent regulatory trading curbs that were put in place as a response to the crisis.

Furthermore, an improved Diebold & Yilmaz method based on TVP-VAR-SV model was used to analyze dynamic connectedness between the index and standalone contracts of agriculture commodity markets. The results show that the impacts on the net spillover of various indices are different. Howev­er, the evidence fails to support the argument that volatility is induced due to spillovers among the indices.

8th International Scientific ERAZ Conference – ERAZ 2022 – Selected Papers: KNOWLEDGE BASED SUSTAINABLE DEVELOPMENT, Online-Virtual (Prague, Czech Republic), May 26, 2022

ERAZ Selected Papers published by: Association of Economists and Managers of the Balkans – Belgrade, Serbia

ERAZ conference partners: Faculty of Economics and Business, Mediterranean University, Montenegro; University of National and World Economy – Sofia, Bulgaria; Faculty of Commercial and Business Studies – Celje, Slovenia; AMBIS University, Prague – Czech Republic; Faculty of Applied Management, Economics and Finance – Belgrade, Serbia

ERAZ Conference 2022 Selected Papers: ISBN 978-86-80194-61-5, ISSN 2683-5568, DOI:

Creative Commons Non Commercial CC BY-NC: This article is distributed under the terms of the Creative Commons Attribution-Non-Commercial 4.0 License ( which permits non-commercial use, reproduction and distribution of the work without further permission. 

Sugested citation

Jain, N., & Nandini Chatnani, N. (2022). Financialization – Evidence from Dynamic Connectedness among Agricultural Index Futures. In V. Bevanda (Ed.), ERAZ Conference – Knowlegde Based Sustainable Development: Vol 8. Selected Papers (pp. 35-41). Association of Economists and Managers of the Balkans.


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