Proponents of Semi strong form of Efficient Market Hypothesis (EMH) claim that security prices fully reflect all publicly available information in a rapid and unbiased manner. Opponents of this Hypothesis question its validity by explaining various anomalies in stock markets. One such anomaly...

The study aims at examining the efficiency of futures market with a sample of 11 commodities traded on National Commodity and Derivatives Exchange Limited (NCDEX). Augmented Dickey-Fuller (ADF) and Phillips-Perron (PP) tests are applied for testing stationarity and order of integration of both...