Market efficiency in agricultural futures markets

Market Efficiency and Volatility Spillovers in Futures and Spot Commodity Market: The Agricultural Sector Perspective

Future contracts in commodity market with limited maturities are primarily used for hedging commodity price-fluctuation risks or for taking advantage of price movements, rather than for the buying or selling of the actual cash commodity. This paper is an effort to analyze the market efficiency of the Indian commodity market and volatility spillover effects between the spot and future market wit...

Commodity futures and market efficiency

a r t i c l e i n f o We analyze the market efficiency of 25 commodity futures across various groups—metals, energies, soft commodities , grains and other agricultural commodities. To do so, we utilize the recently proposed Efficiency Index to find out that the most efficient among all of the analyzed commodities is heating oil, closely followed by WTI crude oil, cotton, wheat, and coffee. On t...

Is China’s Agricultural Futures Market Efficient?

In this paper, we study the efficiency of the Chinese wheat and soybeans futures markets and assess the conditions in agricultural commodity futures and cash markets in China. Formal statistical tests are conducted through Johansen's cointegration approach to identify the long-term equilibrium relationship between futures and cash markets. Three different cash prices from Zhengzhou Grain Wholes...

Research in Agricultural Futures Markets: Past, Present and Future

In this paper we discuss how our insight into the grounds of existence of futures markets has changed. We discuss futures market research within agricultural marketing, on the one hand, and within finance, on the other hand. The research within these two disciplines may be considered complementary. Subsequently, a new research model is presented which integrates both strains of research. This m...

Dynamic Decision Making in Agricultural Futures and Options Markets