Arbitrage, cointegration and testing the unbiasedness hypothesis in coffee futures traded at the CSCE

Malini Nair

MPRA Paper from University Library of Munich, Germany

Abstract: The objective of this study was to test the market efficiency hypothesis of Colombian coffee. This is of extreme importance to Colombia because the exports of coffee from this country provides for valuable foreign exchange and provides employment for her people. Historically this country has been concerned with the volatility of spot markets and used buffer stocks and quotas to protect her from price risk. The previous futures prices were found to be an unbiased predictor of current spot prices indicating the markets are efficient.

Keywords: Coffee futures; Error Correction Model; Dickie Fuller Test; Johansen Procedure (search for similar items in EconPapers)
JEL-codes: C01 C22 (search for similar items in EconPapers)
Date: 2005
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Related works:
Working Paper: Arbitrage, Cointegration and Testing the Unbiasedness Hypothesis in Coffee Futures Traded at the CSCE (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:37530

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