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Unbiasedness and Market Efficiency Tests of the U.S. Rice Futures Market
Author(s) -
McKenzie Andrew M.,
Jiang Bingrong,
Djunaidi Harjanto,
Hoffman Linwood A.,
Wailes Eric J.
Publication year - 2002
Publication title -
applied economic perspectives and policy
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.4
H-Index - 49
eISSN - 2040-5804
pISSN - 2040-5790
DOI - 10.1111/1467-9353.00032
Subject(s) - futures contract , futures market , economics , market efficiency , financial economics , econometrics , agricultural economics
This study examines short‐run and long‐run unbiasedness within the U.S. rice futures market. Standard OLS, cointegration, and error‐correction models are used to determine unbiasedness. In addition, the forecasting performance of the rice futures market is analyzed and compared to out‐of‐sample forecasts derived from an additive ARIMA model and the error‐correction model. The results of our unbiasedness tests and the forecasting performance of the rice futures market provide supporting evidence that the U.S. long‐grain rough rice futures market is efficient. The results have important price risk management and price discovery implications for Arkansas and U.S. rice industry participants.