Market Efficiency in Agricultural commodities: Vector error correction model (VECM) Approach

Mahmoud Ali Amassaib, Mohammed Salih Adam Abdalla and Tarig Gibreel
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Mahmoud Ali Amassaib: Department of Agricultural Economics and Agribusiness, Faculty of Natural Resource and Environmental Studies, University of Kordofan, Elobeid, Sudan, Oman
Mohammed Salih Adam Abdalla: Department of Projects, Institute of Research and Consultancy, King Faisal University, Saudi Arabia, Oman
Tarig Gibreel: Department of Natural Resources Economics, College of Agricultural and Marine Sciences, Sultan Qaboos University, Oman

International Journal of Research and Innovation in Social Science, 2022, vol. 6, issue 9, 174-179

Abstract: The study was conducted in Elobied Crops Market to investigate the efficiency market hypothesis (EMH) for sesame, groundnut, and Arabic gum crops. The study used Augmented-Dickey Fuller (ADF) method, Johansen multivariate approach, and Vector error correction model (VECM), and co-integration method. Data was obtained from the Elobied Crops Market database for annual prices and quantities of trading commodities from 1990 to 2017.The study concluded that there is a weak form of EMH for sesame and groundnut and a semi-strong of EMH for Arabic gum.

Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:bcp:journl:v:6:y:2022:i:9:p:174-179

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