 The efficiency of the South African white maize futures marketKerry McCullough and Barry Strydom Agrekon, 2013, vol. 52, issue 3, 18-33 Abstract: The efficiency of futures markets for agricultural commodities is an important issue for participants in the agricultural sector who rely on futures contracts to manage price risk and to assist in planning. Tests of market efficiency in futures markets typically address the relationship between spot and futures prices through the application of cointegration techniques. This study employs both the Engle-Granger's and the Johansen's tests for cointegration in order to examine the efficiency of the futures market in South Africa for white maize, which is the most important commodity traded on the South African Futures Exchange by volume. Near spot and futures prices are found to be cointegrated, and there is evidence to indicate that this market is both unbiased and without a risk premium, indicating a weak-form efficient market. This is in contrast to the findings of previous papers, which examined the early years of this market, and points to an improvement in the efficiency of this market. Date: 2013 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:taf:ragrxx:v:52:y:2013:i:3:p:18-33 Ordering information: This journal article can be ordered from DOI: 10.1080/03031853.2013.821742 Access Statistics for this article Agrekon is currently edited by A. Jooste, National Agricultural Marketing Council More articles in Agrekon from Taylor & Francis Journals |
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