Market efficiency of China and Thailand commodity futures exchanges
This study tests the market efficiency of commodity futures market in China and Thailand. We apply the Johansen approach to examine the unbiasedness hypothesis for soy bean meal, hard white winter wheat, natural rubber (China) and rubber RSS3 (Thailand) commodity futures over the period of 2001 to 2...
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| Main Authors: | , , |
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| Other Authors: | |
| Format: | Final Year Project |
| Published: |
2008
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/10478 |
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| Institution: | Nanyang Technological University |
| Summary: | This study tests the market efficiency of commodity futures market in China and Thailand. We apply the Johansen approach to examine the unbiasedness hypothesis for soy bean meal, hard white winter wheat, natural rubber (China) and rubber RSS3 (Thailand) commodity futures over the period of 2001 to 2006. Our findings are not consistent among the markets. The results for soy bean meal and rubber RSS3 suggest that futures prices of these commodity futures are an effective predictor of their respective cash price. However, the natural rubber futures market appears to be inefficient and futures and cash price of hard white winter wheat do not follow the random walk. The results have important price risk management and price discovery implications for participants in the commodity futures market in China and Thailand. |
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