Market Efficiency In Agricultural Futures Markets
Download full text from publisher
Other versions of this item:
References listed on IDEAS
- Hall, S G, 1991. "The Effect of Varying Length VAR Models on the Maximum Likelihood Estimates of Cointegrating Vectors," Scottish Journal of Political Economy, Scottish Economic Society, vol. 38(4), pages 317-323, November.
- Engle, Robert & Granger, Clive, 2015.
"Co-integration and error correction: Representation, estimation, and testing,"
Publishing House "SINERGIA PRESS", vol. 39(3), pages 106-135.
- Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-276, March.
- Beck, Stacie E, 1993. "A Rational Expectations Model of Time Varying Risk Premia in Commodities Futures Markets: Theory and Evidence," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 34(1), pages 149-168, February.
- Moosa, Imad A. & Al-Loughani, Nabeel E., 1994. "Unbiasedness and time varying risk premia in the crude oil futures market," Energy Economics, Elsevier, vol. 16(2), pages 99-105, April.
- Hansen, Lars Peter & Hodrick, Robert J, 1980. "Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis," Journal of Political Economy, University of Chicago Press, vol. 88(5), pages 829-853, October.
- Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
- Domowitz, Ian & Hakkio, Craig S., 1985. "Conditional variance and the risk premium in the foreign exchange market," Journal of International Economics, Elsevier, vol. 19(1-2), pages 47-66, August.
- Hakkio, Craig S. & Rush, Mark, 1989. "Market efficiency and cointegration: an application to the sterling and deutschemark exchange markets," Journal of International Money and Finance, Elsevier, vol. 8(1), pages 75-88, March.
- 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.
- French, Kenneth R, 1986. "Detecting Spot Price Forecasts in Futures Prices," The Journal of Business, University of Chicago Press, vol. 59(2), pages 39-54, April.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
- Dickey, David A & Pantula, Sastry G, 2002. "Determining the Order of Differencing in Autoregressive Processes," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 18-24, January.
- Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
- Fama, Eugene F & French, Kenneth R, 1987. "Commodity Futures Prices: Some Evidence on Forecast Power, Premiums,and the Theory of Storage," The Journal of Business, University of Chicago Press, vol. 60(1), pages 55-73, January.
- Christopher F. Baum & John Barkoulas, 1996.
"Time‐varying risk premia in the foreign currency futures basis,"
Journal of Futures Markets,
John Wiley & Sons, Ltd., vol. 16(7), pages 735-755, October.
- John Barkoulas & Christopher F. Baum, 1996. "Time-Varying Risk Premia in the Foreign Currency Futures Basis," Boston College Working Papers in Economics 281., Boston College Department of Economics.
- 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.
- Sabuhoro, Jean Bosco & Larue, Bruno, 1997. "The market efficiency hypothesis: The case of coffee and cocoa futures," Agricultural Economics, Blackwell, vol. 16(3), pages 171-184, August.
- Baillie, Richard T. & Bollerslev, Tim, 1990. "A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets," Journal of International Money and Finance, Elsevier, vol. 9(3), pages 309-324, September.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Ying-Foon Chow, 2001. "Arbitrage, Risk Premium, and Cointegration Tests of the Efficiency of Futures Markets," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 28(5-6), pages 693-713.
- Arouri, Mohamed El Hedi & Hammoudeh, Shawkat & Lahiani, Amine & Nguyen, Duc Khuong, 2013.
"On the short- and long-run efficiency of energy and precious metal markets,"
Elsevier, pages 832-844.
- Mohamed El Hedi Arouri & Shawkat Hammoudeh & Duc Khuong Nguyen & Amine Lahiani, 2013. "On the short- and long-run efficiency of energy and precious metal markets," Working Papers hal-00798036, HAL.
- Krzysztof Borowski & Malgorzata Lukasik, 2015. "Analysis of Selected Seasonality Effects in the Following Agricultural Markets: Corn, Wheat, Coffee, Cocoa, Sugar, Cotton and Soybeans," Eurasian Journal of Business and Management, Eurasian Publications, vol. 3(2), pages 12-37.
- repec:dau:papers:123456789/1244 is not listed on IDEAS
- H. Holly Wang & Bingfan Ke, 2005.
"Efficiency tests of agricultural commodity futures markets in China,"
Australian Journal of Agricultural and Resource Economics,
Australian Agricultural and Resource Economics Society, pages 125-141.
- Wang, H. Holly & Ke, Bingfan, 2005. "Efficiency tests of agricultural commodity futures markets in China," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 49(2), June.
- Armah, Stephen E., 2008. "Establishing the Presence of a Risk Premium in the Cocoa Futures Market: An Econometric Analysis," 2008 Annual Meeting, July 27-29, 2008, Orlando, Florida 6778, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Joseph, Anto & Sisodia, Garima & Tiwari, Aviral Kumar, 2014. "A frequency domain causality investigation between futures and spot prices of Indian commodity markets," Economic Modelling, Elsevier, vol. 40(C), pages 250-258.
- Joseph, Kishore & Garcia, Philip & Peterson, Paul E., 2016. "Does the Boxed Beef Price Inform the Live Cattle Futures Price?," 2016 Annual Meeting, July 31-August 2, 2016, Boston, Massachusetts 236166, Agricultural and Applied Economics Association.
- Sanders, Dwight R. & Manfredo, Mark R., 2005. "A Test of Forecast Consistency Using USDA Livestock Price Forecasts," 2005 Conference, April 18-19, 2005, St. Louis, Missouri 19042, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
- Wang, H. Holly & Ke, Bingfan, 2003. "Is China'S Agricultural Futures Market Efficient?," 2003 Annual Meeting, August 16-22, 2003, Durban, South Africa 25806, International Association of Agricultural Economists.
- Jerry Coakley & Jian Dollery & Neil Kellard, 2011. "Long memory and structural breaks in commodity futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 31(11), pages 1076-1113, November.
- repec:rej:journl:v:16:y:2013:i:47:p:211-228 is not listed on IDEAS
- Prehn, Sören & Glauben, Thomas & Loy, Jens-Peter & Pies, Ingo & Will, Matthias Georg, 2014.
"The impact of long-only index funds on price discovery and market performance in agricultural futures markets
[Der Einfluss von Long-only-Indexfonds auf die Preisfindung und das Marktergebnis an la," IAMO Discussion Papers 147, Leibniz Institute of Agricultural Development in Transition Economies (IAMO).
- Algieri, Bernardina & Kalkuhl, Matthias, 2014. "Back to the Futures: An Assessment of Commodity Market Efficiency and Forecast Error Drivers," Discussion Papers 187159, University of Bonn, Center for Development Research (ZEF).
- Schnake, Kristin N. & Karali, Berna & Dorfman, Jeffrey H., 2012. "The Informational Content of Distant-Delivery Futures Contracts," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 37(2), August.
- Jabir Ali & Kriti Bardhan Gupta, 2011. "Efficiency in agricultural commodity futures markets in India: Evidence from cointegration and causality tests," Agricultural Finance Review, Emerald Group Publishing, vol. 71(2), pages 162-178, August.
- Carcano, G. & Falbo, P. & Stefani, S., 2005. "Speculative trading in mean reverting markets," European Journal of Operational Research, Elsevier, vol. 163(1), pages 132-144, May.
- repec:eco:journ2:2017-06-8 is not listed on IDEAS
- Mazouz, Khelifa & Wang, Jian, 2014. "Are commodity futures markets short-term efficient? An empirical investigation," 88th Annual Conference, April 9-11, 2014, AgroParisTech, Paris, France 169763, Agricultural Economics Society.
- Natanelov, Valeri & McKenzie, Andrew M. & Van Huylenbroeck, Guido, 2013. "Crude oil–corn–ethanol – nexus: A contextual approach," Energy Policy, Elsevier, vol. 63(C), pages 504-513.
- Vollmer, Teresa & Holst, Carsten, 2016. "Dienen Terminmarktnotierungen Für Schlachtschweine Zur Prognose Zukünftiger Preisentwicklungen?," 56th Annual Conference, Bonn, Germany, September 28-30, 2016 244806, German Association of Agricultural Economists (GEWISOLA).
- repec:rss:jnljfe:v4i3p3 is not listed on IDEAS
- Ramaprasad Bhar & Shigeyuki Hamori, 2006. "Component structures of agricultural commodity futures traded on the Tokyo Grain Exchange," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 13(1), pages 1-9, March.
- repec:eee:jrpoli:v:53:y:2017:i:c:p:135-146 is not listed on IDEAS
- Bozic, Marin & Fortenbery, T., 2015. "Price Discovery, Volatility Spillovers and Adequacy of Speculation when Spot Prices are Stationary: The Case of U.S. Dairy Markets," 2015 Conference, August 9-14, 2015, Milan, Italy 211369, International Association of Agricultural Economists.
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ags:aaea98:20933. See general 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: (AgEcon Search). General contact details of provider: http://edirc.repec.org/data/aaeaaea.html .