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EFFICIENCY TESTS OF FUTURES MARKETS FOR UK AGRICULTURAL COMMODITIES
Author(s) -
Aulton A. J.,
Ennew C. T.,
Rayner A. J.
Publication year - 1997
Publication title -
journal of agricultural economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.157
H-Index - 61
eISSN - 1477-9552
pISSN - 0021-857X
DOI - 10.1111/j.1477-9552.1997.tb01162.x
Subject(s) - futures contract , cointegration , relation (database) , market efficiency , economics , price discovery , financial economics , futures market , efficient market hypothesis , econometrics , microeconomics , computer science , paleontology , horse , database , stock market , biology
An efficient futures market should provide a forecast of the future spot price which reflects all publicly available information; ideally, for effective price discovery such forecasts would also be unbiased. Evidence for market efficiency, much of which is US based, is mixed and despite its importance from both public and private perspectives, there are relatively few studies of futures market efficiency in relation to UK agricultural commodities. This paper presents the results of a study of market efficiency in relation to three distinct UK futures markets using a cointegration methodology. The results provide evidence of efficiency and unbiasedness in relation to wheat, some concerns with respect to efficiency in relation to potatoes and pigmeat and some concerns about bias in relation to potatoes.