MARKET EFFICIENCY IN AGRICULTURAL FUTURES MARKETS

Andrew McKenzie and Matthew Holt

No 20933, 1998 Annual meeting, August 2-5, Salt Lake City, UT from American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association)

Abstract: This paper tests for both long run and short run market efficiency and unbiasedness in five agricultural futures markets. The possible existence of constant and time varying risk premia are taken into account using cointegration procedures and error correction models within a GARCH framework.

Keywords: Marketing (search for similar items in EconPapers)
Pages: 15
Date: 1998
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Citations: View citations in EconPapers (11)

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Journal Article: Market efficiency in agricultural futures markets (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea98:20933

DOI: 10.22004/ag.econ.20933

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