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Abstract
This research evaluates the extent of market integration and direction of price transmission among major cotton trading countries with attention to pre- and post-COVID-19 pandemic periods. We hypothesize that supply and demand linkages among major production and consumption countries are significantly affected by the COVID-19 pandemic necessitating a closer look at market integration and price co-movements. To test this hypothesis, we collect average monthly spot prices in U.S., India, China, Brazil, Turkey, and Pakistan and daily futures data of U.S., India, and China for cotton from May 2015 to December 2022 and investigate price movements before and after the pandemic. We test separately for the price co-movement and the integration in the futures markets, and between spot and futures markets. Results revealed that the integration in futures markets and between spot and futures markets in all nations have increased after pandemic. This study informs cotton stakeholders about how global events affect cotton prices.