文章基本信息

标题：Back to the Futures: An Assessment of Commodity Market Efficiency and Forecast Error Drivers
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作者：Algieri, Bernardina ; Kalkuhl, Matthias
期刊名称：Journal of Food Distribution Research
印刷版ISSN：0047-245X
出版年度：2014
出版社：Food Distribution Research Society
摘要：The role of futures markets in stabilizing spot prices has been extensively discussed. Nevertheless, the ability of these markets to achieve the stabilizing function significantly depends on whether they are ‘efficient’ in the sense that futures prices ‘fully reflect’ the available information. The purpose of this study is first to gauge the extent to which futures markets for a set of traded commodities can be considered efficient in predicting spot prices. We then go beyond traditional analyses of efficiency and assess the relative forecasting performance of futures markets; i.e., the difference between the realization and prediction of future spot prices, and what factors affect these forecast errors. The results of the analysis show that maize, soybeans, and wheat markets are not informationally efficient, so that investors can make outsize profits. We find that short-term speculation, measured by the scalping index, increases the noises in the information formation process, thus increasing forecast errors. Conversely, long-term speculation, proxied by the Working-T index and the speculative pressure index, reduces forecast errors although their quantitative effect is negligible. Other relevant factors that drive forecast errors up are a high level of realized price volatility, the lack of liquidity in the market, and a longer contract maturity horizon.
关键词：futures markets;efficiency;forecast errors;GARCH