CO- INTEGRATION OF SESAMUM MARKETS IN INDIA

Abstract

The present study empirically evaluated the spatial price integration and inter-market price transmission of sesamum in five major Indian markets Alwar, Guskara, Neemuch, Nizamabad and Rajkot using monthly modal price data. Stationarity properties of the series were first assessed through Augmented Dickey–Fuller (ADF) and Phillips–Perron (PP) tests, and all price series were found to be non-stationary in levels but stationary in first differences, indicating integration of order one, I(1). Given this, Johansen’s multivariate co-integration procedure was applied and the trace and maximum eigenvalue statistics jointly confirmed the existence of multiple co-integrating vectors, implying a stable long-run equilibrium relationship among the selected sesamum markets. To delineate the direction of price discovery, pairwise Granger causality tests were conducted, these revealed bidirectional causality between Nizamabad and Neemuch and several unidirectional causal flows from Alwar, Nizamabad and Rajkot to other markets, indicating asymmetric price transmission and the presence of price-leading centres, with Nizamabad emerging as a key transmitter of price signals. A Vector Error Correction Model (VECM) was subsequently estimated to capture both the long-run adjustment mechanism and short-run dynamics. The error-correction terms in the Neemuch, Nizamabad and Rajkot equations were statistically significant, demonstrating that these markets bear the main burden of restoring long-run equilibrium following shocks, whereas Alwar and Guskara are driven more by own-lag effects in the short run. Overall, the findings confirm that the major sesamum markets in India are spatially integrated, price shocks are disseminated across locations, and market efficiency can be further enhanced through strengthened market information systems and reduction of spatial frictions.