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Market Efficiency In Agricultural Futures Markets

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  • McKenzie, Andrew M.
  • Holt, Matthew T.

Abstract

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.

Suggested Citation

  • McKenzie, Andrew M. & Holt, Matthew T., 1998. "Market Efficiency In Agricultural Futures Markets," 1998 Annual meeting, August 2-5, Salt Lake City, UT 20933, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  • Handle: RePEc:ags:aaea98:20933
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    File URL: http://purl.umn.edu/20933
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    References listed on IDEAS

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