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The relative efficiency of commodity futures markets

โœ Scribed by Kellard, Neil; Newbold, Paul; Rayner, Tony; Ennew, Christine

Publisher
John Wiley and Sons
Year
1999
Tongue
English
Weight
203 KB
Volume
19
Category
Article
ISSN
0270-7314

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โœฆ Synopsis

The ability of futures markets to predict subsequent spot prices has been a controversial topic for a number of years. Empirical evidence to date is mixed; for any given market, some studies find evidence of efficiency, others of inefficiency. In part, these apparently conflicting findings reflect differences in the time periods analyzed and the methods chosen for testing. A limitation of existing tests is the classification of markets as either efficient or inefficient with no assessment of the degree to which efficiency is present. This article presents tests for unbiasedness and efficiency across a range of commodity and financial futures markets, using a cointegration methodology, and de-

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