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THE EXTENT OF THE WORLD COFFEE MARKET
Author(s) -
Ghoshray Atanu
Publication year - 2010
Publication title -
bulletin of economic research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.227
H-Index - 29
eISSN - 1467-8586
pISSN - 0307-3378
DOI - 10.1111/j.1467-8586.2009.00318.x
Subject(s) - arbitrage , economics , test (biology) , econometrics , efficient market hypothesis , linear correlation , mathematical economics , financial economics , microeconomics , mathematics , statistics , geography , paleontology , stock market , biology , context (archaeology) , archaeology
This paper employs a novel method to determine whether the prices of various types of coffee are co‐integrated. In the spirit of Stigler's arbitrage definition of the market, an attempt is made to test whether all the prices co‐integrate in pairs, implying that there is a single market for coffee. This test for co‐integration is carried out using both linear and non‐linear approaches. This finding demonstrates that the conclusions drawn from the linear and non‐linear tests may be drastically different.