Market integration and price volatility of pigeon pea in Maharashtra

Abstract

Pigeon pea (Cajanus cajan) is an important pulse crop originated from India, grown in the tropical and subtropical regions of the world. Huge fluctuations in prices of farm produce were observed during past few years. The present study aimed to know Market integration of Pigeon pea prices i.e. seasonal variations, price volatility and co-integration among the major Pigeon pea markets in Maharashtra. For study purpose the data related to monthly average prices of pigeon pea were collected from major markets of Maharashtra state viz. Washim, Wardha, Mumbai and Latur for the period 2005 to 2016. Moving average method was used to study seasonal variations. The econometric tools like ADF test, Johansen's multiple co-integration test, Granger causality test and ARCH-GARCH model were used to study price volatility and co-integration among different markets. The results of study showed that the prices of Pigeon pea were higher in the months from July to October in all the selected markets. The cyclical variations observed in the prices of Pigeon pea in the selected markets. For all selected markets, the price series showed the consequences of unit root and were stationary at first order difference. The selected markets showed long run equilibrium relationship and co-integration between them. Most of the markets showed bidirectional influence on pigeon pea prices of each other. All the selected markets of study showed price volatility in Pigeon pea prices.