Market efficiency in agricultural futures markets

Andrew McKenzie and Matthew Holt

Applied Economics, 2002, vol. 34, issue 12, 1519-1532

Abstract: 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.

Date: 2002
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Working Paper: MARKET EFFICIENCY IN AGRICULTURAL FUTURES MARKETS (1998)
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DOI: 10.1080/00036840110102761

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