Efficiency in Commodity Futures Markets
An econometric investigation is undertaken into the efficiency of commodity futures markets. Despite considerable empirical literature, there is no consensus on whether or not the markets are efficient. This study suggests that for certain commodities expected excess returns to futures speculation are nonzero. However, these results do not necessarily imply that agents do not act rationally. The implications for the cost of using the futures market for hedging and for the power of futures prices to forecast future spot prices are also noted.
Volume (Year): 37 (1990)
Issue (Month): 3 (September)
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