Futures markets perform their economic roles of price discovery and hedging only when they are efficient. One of the important features of efficient market is that one cannot make abnormal profits from the futures markets by trading in it. This paper addresses the question of whether Indian wheat futures prices can be forecast. This would add to our knowledge whether wheat futures market is efficient, and would enable brokers, traders and speculators to develop profitable trading strategy. We employ the economic variable model to predict the wheat futures prices, and employ out of sample point forecasts. We also evaluate the robustness of our results by employing several alternative specifications, viz. ARMA process and artificial neural network technique. We then test the statistical significance of point forecast using the Diebold and Mariano test. We consider random walk orecast as the bench mark. In order to predict the evolution of wheat futures prices, we use traders’ expectations about the futures prices, a number of economic variables and futures prices (lagged) of wheat. The study finds that the futures price of wheat cannot be forecast, and the wheat futures market is efficient.

中文翻译：

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预测印度小麦期货价格

期货市场只有在有效时才能发挥其价格发现和对冲的经济作用。有效市场的重要特征之一是不能通过交易从期货市场中获取异常利润。本文讨论了能否预测印度小麦期货价格的问题。这将增加我们对小麦期货市场是否有效的了解，并使经纪人、交易员和投机者能够制定有利可图的交易策略。我们采用经济变量模型来预测小麦期货价格，并采用样本点外预测。我们还通过采用几种替代规范来评估我们结果的稳健性，即。ARMA 过程和人工神经网络技术。然后，我们使用 Diebold 和 Mariano 检验来检验点预测的统计显着性。我们将随机游走矿铸视为基准。为了预测小麦期货价格的演变，我们使用交易者对期货价格的预期、一些经济变量和小麦期货价格（滞后）。研究发现小麦期货价格无法预测，小麦期货市场是有效的。