Author: Colin CarterPublisher:
ISBN:
Category : Commodity exchanges
Languages : en
Pages : 30
Book Description
Commodity Futures Market Efficiency in the Soybean Complex
Author: Colin CarterPublisher:
ISBN:
Category : Commodity exchanges
Languages : en
Pages : 30
Book Description
Futures Market Efficiency in Soybean Complex
Author: Gordon C. RausserNonparametric Tests of Commodity Futures Market Efficiency
Author: Andrew M. McKenziePublisher:
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.
Trading in Soybean Complex Futures
Author: Efficiency Tests of Agricultural Commodity Futures Markets in China
Author: Hong WangPublisher:
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.
The Efficiency of Commodity Markets
Author: Chang ChenPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Current academic literature typically focuses on whether technical analysis rules are able to generate abnormal returns in commodity futures markets. While it is evident that the profitability of technical rules implies the existence of inefficiency in these markets, it does not answer the question of just how high the level of inefficiency is. The aim of this thesis is to introduce a measure of efficiency that is derived from the concept of temporary inefficiency. For this purpose, three different techniques are applied: Moving Averages, Trading Range Breakouts, and Filter Rules. Ten commodity futures markets are examined: corn, cotton, crude oil, gold, heating oil, live cattle, soybean, soybean oil, sugar, and wheat. The analysis is conducted on the basis of futures prices over a period of 20 years and four 5-year sub-periods. The finding from this thesis suggests that while it is true that none of the ten commodity markets is efficient, their degrees of inefficiency vary widely.
The Soybean Complex Spread
Author: Robert L. JohnsonMarket Efficiency of Commodity Futures in India
Author: Takeshi InoueMarket Efficiency and Natural Selection in a Commodity Futures Market
Author: Guo Ying LuoPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
While the literature usually justifies informational efficiency in the context of rationality, this paper shows informational efficiency by applying the evolutionary idea of natural selection. In a dynamic futures market, speculators are assumed to merely act upon their predetermined trading types (buyer or seller), their predetermined fractions of wealth allocated for speculation and their inherent abilities to predict the spot price, reflected in their distributions of prediction errors with respect to the spot price. This paper shows that the proportion of time that the futures price equals the spot price converges to one with probability 1.
Competition and Efficiency in the Commodity Futures Market
Author: Norman H. JonesPublisher:
ISBN:
Category : Business forecasting
Languages : en
Pages : 76
Book Description