Commodity futures markets play an imporant role in price discovery, the information on which helps the producers plan their activities on production, processing, storage, and marketing of commodities. It is generally argued that price discovery is more efficient in futures markets than spot markets (Brockman and Tse, 1995; Yang and Leatham, 1999). The availability and effective dissemination of information helps to stabilize and decreases spot price volatility. Thus, futures trading infuse efficiency in the functioning of a commodity market.