Efficiency Tests of the Agricultural Futures Exchange of Thailand: A Case of White Rice 5%
AbstractThe better reflection of future price on spot price indicates the higher efficiency of futures market because such market is able to respond rapidly to the market information. This research studies the efficiency of white rice 5% in the Agricultural Futures Exchange of Thailand (AFET). The relationship between the AFET prices and spot prices of white rice 5% was analyzed. Weekly data from August 2004 to December 2009 were used for the analysis. The results showed a long-term equilibrium relationship between the future prices and the spot prices for the white rice 5%. However, the price relationship was found to be inefficient at the statistical significant level of 0.01. In addition, the trade volume in the futures market has been small. This is one of the reasons causing the inefficiency. The government and private sectors should promote the use of the futures market. This should also include the decrease of intervention on pricing policies for products related to the futures market.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Kasetsart University, Department of Agricultural and Resource Economics in its series Working Papers with number 201102.
Length: 21 pages
Date of creation: Jul 2011
Date of revision:
Publication status: Published in ARE Working Paper No. 2554/2 (July 2011)
market efficiency; AFET; cointegration; white rice 5%;
Find related papers by JEL classification:
- D43 - Microeconomics - - Market Structure and Pricing - - - Oligopoly and Other Forms of Market Imperfection
This paper has been announced in the following NEP Reports:
- NEP-AGR-2011-07-02 (Agricultural Economics)
- NEP-ALL-2011-07-02 (All new papers)
- NEP-SEA-2011-07-02 (South East Asia)
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Kanchana Sripruetkiat).
If references are entirely missing, you can add them using this form.