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)

Publisher: Routledge, part of the Taylor & Francis Group

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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

DOI: http://dx.doi.org/10.1080/00036840110102761

Publication date: August 15, 2002

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