The study aims at examining the efficiency of futures market with a sample of 11 commodities traded on National Commodity and Derivatives Exchange Limited (NCDEX). Augmented Dickey-Fuller (ADF) and Phillips-Perron (PP) tests are applied for testing stationarity and order of integration of both spot and futures market. Zivot-Andrews test of unit root is also applied to ensure reliable results in the event of structural break. Stationarity in spot and futures series at level is observed in case of three commodities, viz., barely, jeera and soybean, and non-stationary at level and stationarity in return series is observed in the case of the remaining eight commodities. To test the cointegrating relationship between both the markets, Johansen test of cointegration is used and finally to observe the direction of causality, Granger causality test is applied. There is evidence of cointegrating relationship indicating the presence of long-run relationship between spot and futures market in eight agricultural commodities. There is also evidence of futures Granger causing spot in the case of six commodities, i.e., barley, castor seed, cotton seed oilcake, gur, mustard seed and refined soya oil. However, there is evidence of bidirectional relationship in the case of remaining five commodities; coriander, jeera, soybean, sugar M grade and wheat. As a whole, it is observed that agricultural commodity futures market is efficient in India.