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Details for article 3 of 10 found articles
| Title: |
Market efficiency in agricultural futures markets |
| Author: |
McKenzie, Andrew M. Holt, Matthew T. |
| Appeared in: |
Applied economics |
| Paging: | Volume 34 (2002) nr. 12 pages 1519-1532 |
| Year: |
2002-08-15 |
| Contents: |
Market efficiency and unbiasedness are tested in four agricultural commodity futures markets - live cattle, hogs, corn, and soybean meal - using cointegration and error correction models with GQARCH-in-mean processes. Results indicate each market is unbiased in the long run, although cattle, hogs and corn futures markets exhibit short-run inefficiencies and pricing biases. Models for cattle and corn outperform futures prices in out-of-sample forecasting. Results also suggest short-run time-varying risk premiums in cattle and hog futures markets. |
| Publisher: |
Routledge |
| Source file: |
Elektronische Wetenschappelijke Tijdschriften |
Details for article 3 of 10 found articles
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