Market Efficiency In Agricultural Futures Markets
This paper tests for both long run and short run market efficiency and unbiasedness in five agricultural futures markets. The possible existence of constant and time varying risk premia are taken into account using cointegration procedures and error correction models within a GARCH framework.
|Date of creation:||1998|
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- Sabuhoro, Jean Bosco & Larue, Bruno, 1997. "The market efficiency hypothesis: the case of coffee and cocoa futures," Agricultural Economics of Agricultural Economists, International Association of Agricultural Economists, vol. 16(3), August.
- Anthony Mananyi & John J. Struthers, 1997. "Cocoa market efficiency: a cointegration approach," Journal of Economic Studies, Emerald Group Publishing, vol. 24(3), pages 141-151, September.
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