Price Hikes in US Agricultural Commodity Futures Markets: An Empirical Efficiency Test
AbstractThis paper evaluates how efficient US futures prices have predicted future spot prices since 2006. It uses cointegration and causality methods to assess the efficiency of US commodity futures markets. The cointegration between the spot and futures price is a necessary condition for our definition of market efficiency. It ensures that there exists a long-run equilibrium relationship between the two prices (Ali and Gupta 2011). Causality assists in examining the existence of lead or lag relationships between futures and spot prices in order to make inferences on the directions (unidirectional or bidirectional) of information flow.
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Bibliographic InfoArticle provided by Food Distribution Research Society in its journal Journal of Food Distribution Research.
Volume (Year): 44 (2013)
Issue (Month): 1 (March)
Commodities; futures; markets; agriculture; Agribusiness; Agricultural Finance; Demand and Price Analysis;
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- Irwin, Scott H. & Garcia, Philip & Good, Darrel L., 2007. "The Performance of Chicago Board of Trade Corn, Soybean, and Wheat Futures Contracts after Recent Changes in Speculative Limits," 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon TN 9951, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
- Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
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