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Efficiency and unbiasedness of corn futures markets: new evidence across the financial crisis

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  • C. Pederzoli
  • C. Torricelli

Abstract

Recent years witnessed commodity prices increases which have fostered research works on their predictability and a renewed interest of practitioners and policy-makers. The objective of this article is to test the predictive ability of futures prices on the underlying spot prices by taking corn, which is one of the most important agricultural commodities in terms of trading volumes and for its role in the dietary regime of many countries. We consider the corn futures on the Chicago Board of Trade (CBOT) in the period May 1998 to December 2011 so as to extend previous studies on this market and to assess a possible effect of the financial crisis. Our results do not emphasize a role for the latter and, although we do not find evidence of efficiency and unbiasedness, the futures corn price turns out to be the best predictor of the spot price if compared with most used alternatives.

Suggested Citation

  • C. Pederzoli & C. Torricelli, 2013. "Efficiency and unbiasedness of corn futures markets: new evidence across the financial crisis," Applied Financial Economics, Taylor & Francis Journals, vol. 23(24), pages 1853-1863, December.
  • Handle: RePEc:taf:apfiec:v:23:y:2013:i:24:p:1853-1863
    DOI: 10.1080/09603107.2013.856997
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    27. Andrea Cipollini & Franco Fiordelisi, 2009. "The impact of bank concentration on financial distress: the case of the European banking system," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 09021, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
    28. Chiara Pederzoli & Costanza Torricelli, 2010. "A parsimonious default prediction model for Italian SMEs," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0022, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
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    More about this item

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • Q14 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Finance

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