Chillies Spot Prices

The time series daily data on Chillies Prices traded at National Commodities Derivatives Exchange India for the period 10 November 2005 to 31 December 2015 were used to identify the relationship between spot and futures prices. The spot prices data set were classified into near month futures, mid month futures and far month futures based on the maturity date. The findings indicate no relationship between spot and near month, mid month, far month futures of chillies during the study period. The first sheet gives the raw data on Chillies prices, the second sheet provides the data the data on near month futures , mid month futures and far month chillies futures along with logarithmic returns.

本研究采用2005年11月10日至2015年12月31日期间，在印度全国商品衍生品交易所（National Commodities Derivatives Exchange India）交易的辣椒价格每日时间序列数据，以探究现货价格（spot price）与期货价格（futures price）之间的关联关系。本数据集按照到期日（maturity date）将辣椒期货合约划分为近月期货、中期期货与远月期货三类。研究结果表明，在本次研究周期内，辣椒现货价格与近月、中期、远月期货价格之间不存在相关关系。第一个工作表包含辣椒价格的原始数据，第二个工作表则提供了近月、中期、远月辣椒期货价格数据以及对数收益率（logarithmic returns）数据。