Recent years witnessed commodity prices increases which have fostered researchworks on their predictability and a renewed interest of practitioners and policy makers. The objective of this paper is to test the predictive ability of futures prices on the underlying spot prices by taking corn, which is one of the most important agricultural commodities in terms of trading volumes and for its role in the dietary regime of many countries. We consider the corn futures on the CBOT in the period May 1998-December 2011 so as to extend previous studies on this market and to assess a possible effect of the financial crisis. Our results do not emphasize a role for the latter and, although we do not find evidence of efficiency and unbiasedness, the futures corn price turns out to be the best predictor of the spot price if compared with most used alternatives.

Pederzoli, C. e C., Torricelli. "Efficiency and unbiasedness of corn futures markets: New evidence across the financial crisis" Working paper, CEFIN WORKING PAPERS, Dipartimento di Economia Marco Biagi - Università di Modena e Reggio Emilia, 2013. https://doi.org/10.25431/11380_1197615

Efficiency and unbiasedness of corn futures markets: New evidence across the financial crisis

Pederzoli, C.;Torricelli, C.
2013-01-01

Abstract

Recent years witnessed commodity prices increases which have fostered researchworks on their predictability and a renewed interest of practitioners and policy makers. The objective of this paper is to test the predictive ability of futures prices on the underlying spot prices by taking corn, which is one of the most important agricultural commodities in terms of trading volumes and for its role in the dietary regime of many countries. We consider the corn futures on the CBOT in the period May 1998-December 2011 so as to extend previous studies on this market and to assess a possible effect of the financial crisis. Our results do not emphasize a role for the latter and, although we do not find evidence of efficiency and unbiasedness, the futures corn price turns out to be the best predictor of the spot price if compared with most used alternatives.
2013
Settembre
Pederzoli, C.; Torricelli, C.
Pederzoli, C. e C., Torricelli. "Efficiency and unbiasedness of corn futures markets: New evidence across the financial crisis" Working paper, CEFIN WORKING PAPERS, Dipartimento di Economia Marco Biagi - Università di Modena e Reggio Emilia, 2013. https://doi.org/10.25431/11380_1197615
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11380/1197615
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