Efficiency and unbiasedness of corn futures markets: New evidence across the financial crisis

Chiara Pederzoli () and Costanza Torricelli

Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) from Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi"

Abstract: Recent years witnessed commodity prices increases which have fostered research-works on their predictability and a renewed interest of practitioners and policy makers. The objective of this paper is to test the predictive ability of futures prices on the underlying spot prices by taking corn, which is one of the most important agricultural commodities in terms of trading volumes and for its role in the dietary regime of many countries. We consider the corn futures on the CBOT in the period May 1998-December 2011 so as to extend previous studies on this market and to assess a possible effect of the financial crisis. Our results do not emphasize a role for the latter and, although we do not find evidence of efficiency and unbiasedness, the futures corn price turns out to be the best predictor of the spot price if compared with most used alternatives.

Keywords: futures prices; corn futures; efficiency; unbiasedness (search for similar items in EconPapers)
JEL-codes: C53 G13 Q14 (search for similar items in EconPapers)
Pages: pages 33
Date: 2013-09
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (24)

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Journal Article: Efficiency and unbiasedness of corn futures markets: new evidence across the financial crisis (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:mod:wcefin:0040

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