Market efficiency in agricultural futures markets

McKenzie, Andrew M.; Holt, Matthew T.

doi:10.1080/00036840110102761

Cited by 131 publications

(100 citation statements)

References 54 publications

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“…9;2015 markets. Result indicated by Mckenzie and Holt (1998), on the basis of future and spot prices of some agricultural commodities in the period of 1966-1995, proved that corn and soybean futures markets are both efficient and unbiased in the long-run, but short-run inefficiencies were found to exist in each market.…”

Section: Relevant Literturementioning

confidence: 99%

Analysis of Selected Seasonality Effects in Market of Rubber Future Contracts Quoted on Tokyo Commodity Exchange

Borowski¹

2015

IJEF

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The commodity market has been becoming one of the main popular segments of the financial markets among individual and institutional investors in recent years, due to downward trend on the stock exchanges. Likely to the equity market, the problem of anomalies in the commodities market is becoming an interesting phenomenon, particularly in the segment of the agricultural market. This paper tests the hypothesis of: monthly, daily, the day-of-the week, the first and the second half of monthly effects on the market of rubber futures, quoted in the period from 01.12.1981 to 31.03.2015. Calculations presented in this paper indicate the existence of monthly effect: in May and November, with the use of the average monthly rates of return and in February, March, April, June, July, August, October and December, when the daily average rates of return were implemented. The seasonal effects were also observed in the case of testing the statistical hypothesis for daily averaged rates of returns for different days of the month (15 th ), as well as for the daily average rates of retuarn on various days of the week (Thursday). The seasonal effects were no registered for the daily average rates of return in the first and in the second half of a month.

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Section: Relevant Literturementioning

confidence: 99%

Analysis of Selected Seasonality Effects in Market of Rubber Future Contracts Quoted on Tokyo Commodity Exchange

Borowski¹

2015

IJEF

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“…Sabuhoro and Larue (1997) demonstrated with the use of cocoa and coffee futures prices, that there was noevidence to rejectthe null hypothesisconcerning theeffectivenessof both markets. Result indicated by Mckenzie and Holt (1998), on the basis of future and spot prices of some agricultural commodities in the period of 1966 -1995, proved that corn and soybean futures markets are both efficient and unbiased in the long-run, but short-run inefficiencies were found to exist in each market. Wang and Ke (2005) studied wheat and soybean futures markets in China.…”

Section: Literature Reviewmentioning

confidence: 99%

Analysis of Selected Seasonality Effects in the Following Agricultural Markets: Corn, Wheat, Coffee, Cocoa, Sugar, Cotton and Soybeans

Borowski¹,

Lukasik²

2015

EJBM

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The commodity market has been becoming one of the main popular segments of the financial markets among individual and institutional investors in recent years, due to downward trend on the stock exchanges. Likely to the equity market, the problem of anomalies in the commodities market is becoming an interesting phenomenon, particularly in the segment of the agricultural market. This paper tests the hypothesis of monthly, the day-of-the week and weekend effects of seven agricultural commodities quoted in the period of 01.01.1994 -31.12.2014. Calculations presented in this paper indicate the absence of the monthly effect on coffee market and the existence of monthly effect in the case of another six analyzed agricultural commodities: corn, wheat, sugar, cocoa, cotton and soybeans. In the analyzed period, no occurrence of day-of-theweek effect was proven for corn, cotton and soybeans. The day-of-the-week effect was registered on the markets of: wheat, coffee, sugar and cocoa and the weekend effect was observed only on the cocoa market.

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“…As variâncias das séries de preços agropecuários não registram valores constantes ao longo do tempo, apresentando agrupamento de volatilidades (MCKENZIE; HOLT, 2002). Portanto, qualquer estimativa realista de taxas de hedge para séries de preços agropecuários deve examinar a propriedade estatística.…”

Section: O Modelo Garch-bekk De Hedge óTimo De Mínima Variância Dinâmicounclassified

Avaliação de eficiência de estratégias de hedge para o risco de preço do café do Brasil com o uso de contratos da BM&FBOVESPA

et al. 2017

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O Brasil é o maior produtor e exportador mundial de café. Entretanto o novo regime de preços e volatilidade a partir da crise de 2008, bem como o aumento da concorrência pela entrada de novos players expressaram a necessidade de uso de mecanismos de mercado para gestão de risco de preço. Entre as alternativas, ilustravam-se os mercados futuros, em particular os contratos futuros de café da BM&FBO-VESPA, do Brasil. Objetivou-se avaliar a eficiência das estratégias sem hedge, hedge simples (naïve), hedge estático e hedge dinâmico calculado pelo modelo GARCH-BEKK na gestão de risco dos preços do café das principais regiões produtoras brasileiras. A eficiência dos hedges estático e dinâmico foi superior à das outras estratégias, embora o último possibilite a calibragem das taxas de hedge intertemporais, diminuindo os custos operacionais. Também, o uso dos contratos futuros de café da BM&FBOVESPA para hedge aumentará a liquidez do mercado, possibilitando a esquematização de várias alternativas operacionais.Palavras-chave: Café; Estratégias de hedge; Eficiência; BM&FBOVESPA.

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Market efficiency in agricultural futures markets

Cited by 131 publications

References 54 publications

Analysis of Selected Seasonality Effects in Market of Rubber Future Contracts Quoted on Tokyo Commodity Exchange

Analysis of Selected Seasonality Effects in Market of Rubber Future Contracts Quoted on Tokyo Commodity Exchange

Analysis of Selected Seasonality Effects in the Following Agricultural Markets: Corn, Wheat, Coffee, Cocoa, Sugar, Cotton and Soybeans

Avaliação de eficiência de estratégias de hedge para o risco de preço do café do Brasil com o uso de contratos da BM&FBOVESPA

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