The relative efficiency of commodity futures markets
Article Abstract:
The futures market and spot prices are cointegrated with a long-run slope coefficient of unity. The inefficiency of any market may be measured based on the ability of the futures price to predict future spot prices relative to the forecast generated by the best fitting quasi-ECM. When this observation is applied to several futures markets, findings reveal that the soybean market is efficient, the gasoil market is 1% inefficient, the DM/$ market is 4% inefficient, the hogs market is 7% inefficient, the Brent crude market is 12% inefficient and the cattle market is 47% inefficient.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 1999
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Impact of the price adjustment process and trading noise on return patterns of grain futures
Article Abstract:
The Amihud-Mendelson's price adjustment model is utilised to illustrate relative importance of trading noise on the price adjustment process in grain futures market. Results indicate that trading noise and over-reaction of prices have significant effects on tick-to-tick price behavior in all grain futures contracts, except for oats. Over and partial adjustment of prices over intervals longer than tick-to-tick is also evident. Grain futures prices seem then to have a tendency to partial adjustment to equilibrium values over longer time intervals.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 1992
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The demise of the high fructose corn syrup futures contract: a case study
Article Abstract:
Futures trading of high fructose corn syrup-55 (HFCS-55) began in the Minneapolis Grain Exchange on Apr. 7, 1987 but quickly started losing most of its volume by Jul. 1987. The demise of HFCS-55 futures trading was attributed to the concentration of producers and users and the complexities of the futures contracts themselves. Moreover, most producers and users saw no need for futures trading since they were already comfortable with the existing forward contracting procedures.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 1996
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