Hostname: page-component-cd9895bd7-mkpzs Total loading time: 0 Render date: 2024-12-28T01:12:30.586Z Has data issue: false hasContentIssue false

The Pricing Efficiency of Agricultural Futures Markets: An Analysis of Previous Research Results

Published online by Cambridge University Press:  28 April 2015

Philip Garcia
Affiliation:
Department of Agricultural Economics, University of Illinoisat Urbana-Champaign
Michael A. Hudson
Affiliation:
Department of Agricultural Economics, University of Illinoisat Urbana-Champaign
Mark L. Waller
Affiliation:
Department of Agricultural Economics, University of Illinoisat Urbana-Champaign

Abstract

The analysis examines quantitatively the findings of previous studies of the pricing efficiency of various agricultural markets using a logit framework. The findings provide insight into the importance of commodity characteristics, uncertainty, and testing procedures used on the results of past research of pricing efficiency. The study also identifies several areas for further research.

Type
Submitted Articles
Copyright
Copyright © Southern Agricultural Economics Association 1988

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

Amemiya, T.Qualitative Response Models: A Survey.J. Econ. Lit., 19 (1981):14831536.Google Scholar
Barrilleaux-Pizzolatto, A., and Chhokar, J.. “Meta-Analysis: What's All the Fuss About?Amer. Bus. Rev., 3 (1985):1520.Google Scholar
Bigman, D., Goldfarb, D., and Schechtman, E.. “Futures Market Efficiency and the Time Content of the Information Sets.J. Futures Markets, 3 (1983):321334.CrossRefGoogle Scholar
Bigman, D., and Goldfarb, D.. “Efficiency and Efficient Trading Rules for Food and Feed Grains in the World Commodity Markets: The Israeli Experience.J. Futures Markets, 5 (1985):110.CrossRefGoogle Scholar
Brinegar, C.A Statistical Analysis of Speculative Price Behavior.Food Res. Inst. Stud., 9 (1970):157.Google Scholar
Canarella, G., and Pollard, S.. “Efficiency of Commodity Futures: A Vector Autoregression Analysis.J.Futures Markets, 5 (1985):5776.CrossRefGoogle Scholar
Capps, O., and Kramer, R.. “Analysis of Food Stamp Participation Using Qualitative Choice Models.Amer. J. Agr. Econ., 67 (1985):4959.CrossRefGoogle Scholar
Cargill, T., and Rausser, G.. “Time and Frequency Representations of Futures Prices as a Stochastic Process.J. Amer. Stat. Assoc., 67 (1972):2330.CrossRefGoogle Scholar
Cargill, T., and Rausser, G.. “Temporal Price Behavior in Commodity Futures Markets.J. Finance, 30 (1975):10431053.Google Scholar
Fama, E.Efficient Capital Markets: A Review of Theory and Empirical Work.J. Finance, 25 (1970):383417.CrossRefGoogle Scholar
Garrison, R.“Cattle Prices Take Random Walk.” Commodities Magazine, Oct. (1980):4648.Google Scholar
Giles, D., and Goss, B.. “Futures Prices as Forecasts of Commodity Spot Prices: Live Cattle and Wool.Australian J. Agr. Econ., 25 (1981):112.Google Scholar
Gordon, J. “The Distribution of Daily Changes in Commodity Futures Prices.” USDA-ERS Technical Bulletin 1702, 1985.Google Scholar
Helms, B., Kaen, F., and Rosenman, R.. “Memory in Commodity Futures Contracts.J. Futures Markets, 4 (1984):559568.CrossRefGoogle Scholar
Helmuth, J.A Report on the Systematic Downward Bias in Live Cattle Futures Prices.J. Futures Markets, 1 (1981):347358.CrossRefGoogle Scholar
Hunt, B.Short Run Price Cycles in the Sydney Wool Futures Market.Australian J. Agr. Econ., 18 (1974):133143.Google Scholar
Hunter, J., Schmidt, F., and Jackson, G.. Meta-Analysis Cumulating Research Findings Across Studies. Beverly Hills, CA: Sage Publications, Inc., 1982.Google Scholar
Irwin, H., and Brorsen, B.. “Public Future Funds.J. Futures Markets, 5 (1985):461486.CrossRefGoogle Scholar
Just, R., and Rausser, G.. “Commodity Price Forecasting with Large-Scale Econometric Models and the Futures Market.Amer. J. Agr. Econ., 63 (1975):197208.CrossRefGoogle Scholar
Kamara, A.Issues in Futures Markets: A Survey.J. Futures Markets, 2 (1982):261294.CrossRefGoogle Scholar
Kofi, T.A Framework for Comparing the Efficiency of the Futures Markets.Amer. J. Agr. Econ., 55 (1972):584593.CrossRefGoogle Scholar
Kolb, R., and Gay, G.. “The Performance of Live Cattle Futures as Predictors of Subsequent Spot Prices.J. Futures Markets, 3 (1983):5563.CrossRefGoogle Scholar
Koppenhaver, G.The Forward Pricing Efficiency of the Live Cattle Futures Market.J. Futures Markets, 3 (1983):307320.CrossRefGoogle Scholar
Labys, W., and Granger, C.. Speculation, Hedging and Commodity Price Forecasting. Lexington, MA: Heath Lexington Books, 1970.Google Scholar
Larson, A.Measurement of a Random Process in Futures Prices.Food Res. Inst. Stud., 1 (1960):313324.Google Scholar
Leath, M., and Garcia, P.. “The Efficiency of the Corn Futures Market in Establishing Forward Prices.No. Cent. J. Agr. Econ., 5 (1983):91101.Google Scholar
Lee, C, and Leuthold, R.. “Investment Horizon, Risk, and Returns in Commodity Futures Markets: An Empirical Analysis with Daily Data.Qtrly. Rev. Econ. and Bus., 23(1983):618.Google Scholar
Leuthold, R.Random Walk and Price Trends: The Live Cattle Futures Market.J. Finance, 27 (1972):879889.CrossRefGoogle Scholar
Leuthold, R.. “The Price Performance of the Futures Market of a Nonstorable Commodity: Live Beef Cattle.Amer. J. Agr. Econ., 56 (1974):271279.CrossRefGoogle Scholar
Leuthold, R., and Hartmann, P.. “A Semi-Strong Form Evaluation of the Efficiency of the Hog Futures Market.Amer. J. Agr. Econ., 61 (1979):482489.CrossRefGoogle Scholar
Leuthold, R., and Hartmann, P.. “An Evaluation of Forward Pricing Efficiency of Livestock Futures Markets.No. Cent. J. Agr. Econ., 3 (1981):7180.Google Scholar
Leuthold, R., and Tomek, W.. “Developments in the Livestock Futures Markets.” In Livestock Futures Research Symposium, Leuthold, R..and Dixon, P., eds., Chicago Mercantile Exchange, 1979.Google Scholar
Mann, J., and Heifner, R.. “The Distribution of Short Run Commodity Price Movements.” USDA-ERS Technical Bulletin 1536. 1976.Google Scholar
Martell, T., and Helms, B.. “A Re-examination of Price Changes in the Commodity Futures Markets.” In International Futures Trading Seminar, Vol. 5. Chicago: Chicago Board of Trade, 1978.Google Scholar
Martell, T., and Philipatos, G.. “Adoptation Information and Dependence in Commodity Markets.J. Finance, 29 (1974):493498.CrossRefGoogle Scholar
Martin, L., and Garcia, P.. “Price Forecasting Performance of Futures Markets for Live Cattle and Hogs.Amer. J. Agr. Econ., 63 (1981):209215.CrossRefGoogle Scholar
Peck, A.The Economic Role of Traditional Commodity Futures Methods.” In Futures Markets: Their Economic Role. Peck, A., ed., American Enterprise Institute, Washington D.C., 1981.Google Scholar
Peterson, P., and Leuthold, R.. “Using Mechanical Trading Systems to Evaluate the Weak Form Efficiency of the Futures Market.So. J. Agr. Econ., 14 (1982):147151.Google Scholar
Pindyck, R., and Rubenfeld, D.. Econometric Models and Economic Forecasts. New York: McGraw-Hill, 1981.Google Scholar
Pluhar, D., Shafer, C., and Sporleder, T.. “The Systematic Downward Bias in Live Cattle Futures: A Further Evaluation.J. Futures Markets, 5 (1985):1120.CrossRefGoogle Scholar
Purcell, W., and Hudson, M.. “The Economic Roles and Implications of Trade in Livestock Futures.” In Futures Markets: Regulatory Issues. Peck, A., ed., American Enterprise Institute for Public Policy Research, Washington D.C., 1985.Google Scholar
Rausser, G., and Carter, C.. “Futures Market Efficiency in the Soybean Complex.Rev. Econ. Stat, 65 (1983):469478.CrossRefGoogle Scholar
Rausser, G., and Just, R.. “Agricultural Commodity Price Forecasting Accuracy: Futures Markets Versus Commercial Econometric Models.” In International Futures Trading Seminar, Vol. 6. Chicago: Chicago Board of Trade, 1979.Google Scholar
Smidt, S.A Test of the Serial Independence of Price Changes in Soybean Futures.Food Res. Inst. Stud., 5 (1965):117136.Google Scholar
Spriggs, J.Forecasts of Indiana Monthly Farm Prices Using Univariate Box-Jenkins Analysis and Corn Futures Prices.No. Cen. J. Agr. Econ., 3 (1981):8187.Google Scholar
Stein, J.Speculative Price: Economic Welfare and the Idiot of Chance.Rev. Econ. Stat, 63 (1981):223232.CrossRefGoogle Scholar
Stevenson, R., and Bear, R.. “Commodity Futures Trends or Random Walk.J. Finances, 25 (1970):6581.CrossRefGoogle Scholar
Tomek, W., and Gray, R.. “Temporal Relationships Among Prices on Commodity Futures Markets: Their Allocative and Stabilizing Role.Amer. J. Agr. Econ., 52 (1970):372380.CrossRefGoogle Scholar
Working, H.The Investigation of Economic Expectations.Amer. Econ. Rev., 39 (1949):150166.Google Scholar
Working, H.Price Effects of Scalping and Day Trading.” In Selected Writings of Holbrook Working. Chicago: Chicago Board of Trade, 1977.Google Scholar