Market efficiency in agricultural futures markets
Authors: McKenzie, Andrew M.; Holt, Matthew T.
Source: Applied Economics, Volume 34, Number 12, 15 August 2002 , pp. 1519-1532(14)
Abstract:Market efficiency and unbiasedness are tested in four agricultural commodity futures markets – live cattle, hogs, corn, and soybean meal – using cointegration and error correction models with GQARCH-in-mean processes. Results indicate each market is unbiased in the long run, although cattle, hogs and corn futures markets exhibit short-run inefficiencies and pricing biases. Models for cattle and corn outperform futures prices in out-of-sample forecasting. Results also suggest short-run time-varying risk premiums in cattle and hog futures markets.
Document Type: Research Article
Publication date: August 15, 2002