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The market efficiency hypothesis: The case of coffee and cocoa futures

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  • Sabuhoro, Jean Bosco
  • Larue, Bruno

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Article provided by Blackwell in its journal Agricultural Economics.

Volume (Year): 16 (1997)
Issue (Month): 3 (August)
Pages: 171-184

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Handle: RePEc:eee:agecon:v:16:y:1997:i:3:p:171-184

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  1. Ericsson, Neil R., 1992. "Cointegration, exogeneity, and policy analysis: An overview," Journal of Policy Modeling, Elsevier, vol. 14(3), pages 251-280, June.
  2. Davidson, Russell & MacKinnon, James G, 1981. "Several Tests for Model Specification in the Presence of Alternative Hypotheses," Econometrica, Econometric Society, vol. 49(3), pages 781-93, May.
  3. Banerjee, Anindya, et al, 1986. "Exploring Equilibrium Relationships in Econometrics through Static Models: Some Monte Carlo Evidence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(3), pages 253-77, August.
  4. Kahl, Kandice H. & Tomek, William G., 1986. "Forward-Pricing Models for Futures Markets: Some Statistical and Interpretative Issues," Food Research Institute Studies, Stanford University, Food Research Institute, issue 01.
  5. Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119, October.
  6. Osterwald-Lenum, Michael, 1992. "A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 461-72, August.
  7. Phillips, Peter C B & Hansen, Bruce E, 1990. "Statistical Inference in Instrumental Variables Regression with I(1) Processes," Review of Economic Studies, Wiley Blackwell, vol. 57(1), pages 99-125, January.
  8. James G. MacKinnon, 2010. "Critical Values for Cointegration Tests," Working Papers 1227, Queen's University, Department of Economics.
  9. Froot, Kenneth A & Frankel, Jeffrey A, 1989. "Forward Discount Bias: Is It an Exchange Risk Premium?," The Quarterly Journal of Economics, MIT Press, vol. 104(1), pages 139-61, February.
  10. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
  11. Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991. "Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?," Cowles Foundation Discussion Papers 979, Cowles Foundation for Research in Economics, Yale University.
  12. Brenner, Robin J. & Kroner, Kenneth F., 1995. "Arbitrage, Cointegration, and Testing the Unbiasedness Hypothesis in Financial Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(01), pages 23-42, March.
  13. Granger, Clive W J, 1986. "Developments in the Study of Cointegrated Economic Variables," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(3), pages 213-28, August.
  14. Hall, Alastair R, 1994. "Testing for a Unit Root in Time Series with Pretest Data-Based Model Selection," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 461-70, October.
  15. Gersovitz, M. & Paxson, C.H., 1990. "The Economies Of Africa And The Prices Of Their Exports," Princeton Studies in International Economics 68, International Economics Section, Departement of Economics Princeton University,.
  16. Levich, Richard M., 1985. "Empirical studies of exchange rates: Price behavior, rate determination and market efficiency," Handbook of International Economics, in: R. W. Jones & P. B. Kenen (ed.), Handbook of International Economics, edition 1, volume 2, chapter 19, pages 979-1040 Elsevier.
  17. 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.
  18. Leybourne, S J & McCabe, B P M, 1994. "A Consistent Test for a Unit Root," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(2), pages 157-66, April.
  19. Copeland, Laurence S, 1991. "Cointegration Tests with Daily Exchange Rate Data," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 53(2), pages 185-98, May.
  20. Ramsey, James B, 1970. "Models, Specification Error, and Inference: A Discussion of some Problems in Econometric Methodology," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 32(4), pages 301-18, November.
  21. Fama, Eugene F & French, Kenneth R, 1987. "Commodity Futures Prices: Some Evidence on Forecast Power, Premiums,and the Theory of Storage," The Journal of Business, University of Chicago Press, vol. 60(1), pages 55-73, January.
  22. Johansen, Søren & Juselius, Katarina, 1992. "Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 211-244.
  23. Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-617, December.
  24. Godfrey, L. G. & Pesaran, M. H., 1983. "Tests of non-nested regression models: Small sample adjustments and Monte Carlo evidence," Journal of Econometrics, Elsevier, vol. 21(1), pages 133-154, January.
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Cited by:
  1. Malini, Nair, 2005. "Arbitrage, Cointegration and Testing the Unbiasedness Hypothesis in Coffee Futures Traded at the CSCE," MPRA Paper 37857, University Library of Munich, Germany.
  2. Gomez, Miguel I. & Koerner, Julia, 2009. "Do retail coffee prices increase faster than they fall? Asymmetric price transmission in France, Germany and the United States," Working Papers 55930, Cornell University, Department of Applied Economics and Management.
  3. Zhou, Haijiang & Roberts, Matthew C. & Zulauf, Carl R., 2004. "Are Interest Rates Necessary For Temporal Cointegration? Evidence From The London Metal Exchange (Lme)," 2004 Annual meeting, August 1-4, Denver, CO 20095, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  4. Ben Shepherd, 2005. "Market Power in International Commodity Processing Chains: Preliminary Results from the Coffee Market," International Trade 0511013, EconWPA.
  5. Lin, Boqiang & Zhang, Guoliang, 2013. "Estimates of electricity saving potential in Chinese nonferrous metals industry," Energy Policy, Elsevier, vol. 60(C), pages 558-568.
  6. Sanders, Daniel J. & Balagtas, Joseph V. & Gruere, Guillaume P., 2012. "Revisiting the palm oil boom in Southeast Asia: The role of fuel versus food demand drivers," IFPRI discussion papers 1167, International Food Policy Research Institute (IFPRI).
  7. Armah, Stephen E., 2008. "Establishing the Presence of a Risk Premium in the Cocoa Futures Market: An Econometric Analysis," 2008 Annual Meeting, July 27-29, 2008, Orlando, Florida 6778, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  8. Andrew McKenzie & Matthew Holt, 2002. "Market efficiency in agricultural futures markets," Applied Economics, Taylor & Francis Journals, vol. 34(12), pages 1519-1532.
  9. Wu, Ziping & Merlean, Seamus, 2003. "Market efficiency in the reformed Chinese grain marketing system," China Economic Review, Elsevier, vol. 14(2), pages 115-130.
  10. Lin, Boqiang & Moubarak, Mohamed, 2014. "Mitigation potential of carbon dioxide emissions in the Chinese textile industry," Applied Energy, Elsevier, vol. 113(C), pages 781-787.
  11. Gomez, Miguel I. & Castillo, Mauricio, 2001. "Structural Change, Rents Transferring And Market Power In The International Coffee Market: A Time Series Analysis," 2001 Annual meeting, August 5-8, Chicago, IL 20441, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).

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