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This study aims to examine whether agricultural commodities exhibited deviations in the lead-lag relationship between future and spot prices of farmer producer organizations (FPOs) traded commodities in the Indian derivative market after trade suspensions during Covid-19. The study may help buyers and sellers to get a fair price for their commodities after lockdown-trade disruptions.

The study applied the Granger causality (GC) test and the vector error correction model (VECM) to analyse short-run and long-run lead-lag relationships. Moreover, the study examined the pre-post-trade suspension effect on the lead-lag relationship of commodity prices.

The GC test results show that five out of the 13 agri-commodities have changed their lead-lag relationship from future to spot in the short run. Simultaneously, VECM captured changes in the lead-lag relationship for the same five commodities in the long run due to trade suspensions.

The findings indicate a reverse lead-lag relationship between future and spot prices for aforesaid commodities after trade suspension. The stakeholders may use the lead prices for these commodities to perform a fair trade. The study may be helpful in structuring price discovery strategy to achieve optimal price and efficient derivative trading.

To the best of the authors’ knowledge, this is the first study examining the effects of trade suspension on price discovery in FPO-traded agri-derivatives caused by the COVID-19 pandemic.