Author: International Monetary Fund
Publisher: International Monetary Fund
ISBN: 1451946961
Category : Business & Economics
Languages : en
Pages : 40
Book Description
The IMF Working Papers series is designed to make IMF staff research available to a wide audience. Almost 300 Working Papers are released each year, covering a wide range of theoretical and analytical topics, including balance of payments, monetary and fiscal issues, global liquidity, and national and international economic developments.
Testing for Efficiency in Commodity Futures Markets
Testing Seasonality and Efficiency in Commodity Futures Markets
Nonparametric Tests of Commodity Futures Market Efficiency
Author: Andrew M. McKenzie
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
Commodity futures markets carry out two important marketing functions with respect to agricultural products: (1) a price discovery role and (2) a price risk management role. The relative effectiveness with which futures markets fulfill these two roles is dependent on the efficiency of the futures market and its ability to provide unbiased forecasts of subsequent futures prices at contract maturity. Our results indicate that futures price returns for live cattle, hogs, corn, rice and soybean meal violate the standard OLS assumption of normality. However, nonparametric statistics results did not materially conflict with our OLS parametric results. Further modeling indicated live cattle, hogs and soybean meal futures returns are better specified using GARCH type models, which allow for a non-constant error variance over time.
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
Commodity futures markets carry out two important marketing functions with respect to agricultural products: (1) a price discovery role and (2) a price risk management role. The relative effectiveness with which futures markets fulfill these two roles is dependent on the efficiency of the futures market and its ability to provide unbiased forecasts of subsequent futures prices at contract maturity. Our results indicate that futures price returns for live cattle, hogs, corn, rice and soybean meal violate the standard OLS assumption of normality. However, nonparametric statistics results did not materially conflict with our OLS parametric results. Further modeling indicated live cattle, hogs and soybean meal futures returns are better specified using GARCH type models, which allow for a non-constant error variance over time.
Efficiency Tests of Agricultural Commodity Futures Markets in China
Author: Hong Wang
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
The efficiency of the Chinese wheat and soybean futures markets is studied. Formal statistical tests were conducted based on Johansen's cointegration approach for three different cash markets and six different futures forecasting horizons ranging from 1 week to 4 months. The results suggest a long-term equilibrium relationship between the futures price and cash price for soybeans and weak short-term efficiency in the soybean futures market. The futures market for wheat is inefficient, which may be caused by over-speculation and government intervention.
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
The efficiency of the Chinese wheat and soybean futures markets is studied. Formal statistical tests were conducted based on Johansen's cointegration approach for three different cash markets and six different futures forecasting horizons ranging from 1 week to 4 months. The results suggest a long-term equilibrium relationship between the futures price and cash price for soybeans and weak short-term efficiency in the soybean futures market. The futures market for wheat is inefficient, which may be caused by over-speculation and government intervention.
Commodity Futures Price Changes
Author: Michael A. Hudson
Publisher:
ISBN:
Category : Commodity exchanges
Languages : en
Pages : 40
Book Description
Publisher:
ISBN:
Category : Commodity exchanges
Languages : en
Pages : 40
Book Description
Rational Expectations and Efficiency in Futures Markets
Author: Barry Goss
Publisher: Routledge
ISBN: 1134975201
Category : Business & Economics
Languages : en
Pages : 240
Book Description
Do traders in futures markets make use of all relevant information and is this reflected in prices? This collection of original essays by a team of international economists considers these and other questions central to futures markets.
Publisher: Routledge
ISBN: 1134975201
Category : Business & Economics
Languages : en
Pages : 240
Book Description
Do traders in futures markets make use of all relevant information and is this reflected in prices? This collection of original essays by a team of international economists considers these and other questions central to futures markets.
A Test of the Efficiency of Futures Markets in Commodities
Re-examining the Futures Market Efficiency Using a New Approach in the Presence of a Time-Varying Risk Premium
Author: Duminda Kuruppuarachchi
Publisher:
ISBN:
Category :
Languages : en
Pages : 46
Book Description
We re-examine the market efficiency of commodity futures using a new approach that accounts for both time-varying risk premium and conditional heteroscedasticity of spot prices. The conventional market efficiency tests so far in the literature are based on either risk neutral or constant risk premium assumptions as such they are biased towards the rejection of the market efficiency hypothesis especially for commodity futures. The time varying risk premium is estimated using a state space model with a modified Kalman filter. Using a Monte Carlo simulation, we show that the proposed test produces robust and superior results under varying market conditions compared to the conventional approaches. By employing the proposed test we analyse the efficiency of crude oil, corn, copper and gold futures and find that gold futures is inefficient throughout the sample period 2000-2011 while others are efficient especially after the global financial crisis (GFC) in 2008. We also find significant changes in the underlying risk premiums due to the GFC. We extend the analysis to a comprehensive sample of 85 commodities traded on 16 exchanges worldwide and find that efficiency and risk premiums vary across the four market sectors while GFC has caused to increase both efficiency and risk premiums in all markets other than precious metals.
Publisher:
ISBN:
Category :
Languages : en
Pages : 46
Book Description
We re-examine the market efficiency of commodity futures using a new approach that accounts for both time-varying risk premium and conditional heteroscedasticity of spot prices. The conventional market efficiency tests so far in the literature are based on either risk neutral or constant risk premium assumptions as such they are biased towards the rejection of the market efficiency hypothesis especially for commodity futures. The time varying risk premium is estimated using a state space model with a modified Kalman filter. Using a Monte Carlo simulation, we show that the proposed test produces robust and superior results under varying market conditions compared to the conventional approaches. By employing the proposed test we analyse the efficiency of crude oil, corn, copper and gold futures and find that gold futures is inefficient throughout the sample period 2000-2011 while others are efficient especially after the global financial crisis (GFC) in 2008. We also find significant changes in the underlying risk premiums due to the GFC. We extend the analysis to a comprehensive sample of 85 commodities traded on 16 exchanges worldwide and find that efficiency and risk premiums vary across the four market sectors while GFC has caused to increase both efficiency and risk premiums in all markets other than precious metals.
An Investigation Into the Causes of Non-martingale Behavior in Commodity Futures Prices
Author: Scott Wesley Barnhart
Publisher:
ISBN:
Category : Commodity exchanges
Languages : en
Pages : 238
Book Description
Publisher:
ISBN:
Category : Commodity exchanges
Languages : en
Pages : 238
Book Description
Efficiency in Commodity Futures Markets
Author: International Monetary Fund
Publisher: International Monetary Fund
ISBN: 1451946961
Category : Business & Economics
Languages : en
Pages : 40
Book Description
The IMF Working Papers series is designed to make IMF staff research available to a wide audience. Almost 300 Working Papers are released each year, covering a wide range of theoretical and analytical topics, including balance of payments, monetary and fiscal issues, global liquidity, and national and international economic developments.
Publisher: International Monetary Fund
ISBN: 1451946961
Category : Business & Economics
Languages : en
Pages : 40
Book Description
The IMF Working Papers series is designed to make IMF staff research available to a wide audience. Almost 300 Working Papers are released each year, covering a wide range of theoretical and analytical topics, including balance of payments, monetary and fiscal issues, global liquidity, and national and international economic developments.