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Market efficiency in agricultural futures markets

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  • Andrew McKenzie
  • Matthew Holt

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.

Suggested Citation

  • Andrew McKenzie & Matthew Holt, 2002. "Market efficiency in agricultural futures markets," Applied Economics, Taylor & Francis Journals, vol. 34(12), pages 1519-1532.
    • Handle: RePEc:taf:applec:v:34:y:2002:i:12:p:1519-1532
    DOI: 10.1080/00036840110102761
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