文章基本信息

标题：Price Hikes in US Agricultural Commodity Futures Markets: An Empirical Efficiency Test
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作者：Armah, Paul W. ; Shanmugam, Velmurugan P.
期刊名称：Journal of Food Distribution Research
印刷版ISSN：0047-245X
出版年度：2013
页码：66-74
出版社：Food Distribution Research Society
摘要：This paper evaluates how efficient US futures prices have predicted future spot prices since 2006. It uses cointegration and causality methods to assess the efficiency of US commodity futures markets. The cointegration between the spot and futures price is a necessary condition for our definition of market efficiency. It ensures that there exists a long-run equilibrium relationship between the two prices (Ali and Gupta 2011). Causality assists in examining the existence of lead or lag relationships between futures and spot prices in order to make inferences on the directions (unidirectional or bidirectional) of information flow.
关键词：Commodities;futures;markets;agriculture