메뉴 건너뛰기




Volumn 16, Issue 3, 1997, Pages 171-184

The market efficiency hypothesis: The case of coffee and cocoa futures

Author keywords

[No Author keywords available]

Indexed keywords

COCOA; COFFEE; COMMODITY PRICES; FUTURES MARKET; MARKET EFFICIENCY HYPOTHESIS;

EID: 0030726581     PISSN: 01695150     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0169-5150(97)00003-0     Document Type: Article
Times cited : (30)

References (40)
  • 4
    • 0343645018 scopus 로고    scopus 로고
    • Commodity Research Bureau Inc. Commodity yearbook, New York
    • Commodity Research Bureau Inc. Commodity yearbook, New York.
  • 5
    • 84867985333 scopus 로고
    • Cointegration and market efficiency in commodity futures markets
    • Beck, S., 1994. Cointegration and market efficiency in commodity futures markets. Applied Economics 26, 249-257.
    • (1994) Applied Economics , vol.26 , pp. 249-257
    • Beck, S.1
  • 6
    • 84974489320 scopus 로고
    • Arbitrage, cointegration, and testing the unbiasedness hypothesis in financial markets
    • Brenner, R., Kroner, K., 1995. Arbitrage, cointegration, and testing the unbiasedness hypothesis in financial markets. Journal of Financial and Quantitative Analysis 30, 23-42.
    • (1995) Journal of Financial and Quantitative Analysis , vol.30 , pp. 23-42
    • Brenner, R.1    Kroner, K.2
  • 9
    • 0019682536 scopus 로고
    • Several tests for model specification in the presence of alternative hypothesis
    • Davidson, R., MacKinnon, J.G., 1981. Several tests for model specification in the presence of alternative hypothesis. Econometrica 49, 781-793.
    • (1981) Econometrica , vol.49 , pp. 781-793
    • Davidson, R.1    MacKinnon, J.G.2
  • 10
    • 0000013567 scopus 로고
    • Cointegration and error correction representation, estimation and testing
    • Engle, R.F., Granger, C.W.J., 1987. Cointegration and error correction representation, estimation and testing. Econometrica 55, 251-276.
    • (1987) Econometrica , vol.55 , pp. 251-276
    • Engle, R.F.1    Granger, C.W.J.2
  • 11
    • 0000544220 scopus 로고
    • Cointegration, exogeneity and policy analysis: An overview
    • Ericsson, N.R., 1992. Cointegration, exogeneity and policy analysis: an overview. Journal of Policy Modeling 14, 251-276.
    • (1992) Journal of Policy Modeling , vol.14 , pp. 251-276
    • Ericsson, N.R.1
  • 12
    • 0000029776 scopus 로고
    • Efficient capital markets: II
    • Fama, E., 1991. Efficient capital markets: II. Journal of Finance 46, 1575-1617.
    • (1991) Journal of Finance , vol.46 , pp. 1575-1617
    • Fama, E.1
  • 13
    • 0000480869 scopus 로고
    • Efficient capital markets: A review of theory and empirical work
    • Fama, E., 1970. Efficient capital markets: a review of theory and empirical work. Journal of Finance 25, 383-417.
    • (1970) Journal of Finance , vol.25 , pp. 383-417
    • Fama, E.1
  • 14
    • 0002753132 scopus 로고
    • Commodity futures prices: Some evidence on forecast power, premium and the theory of storage
    • Fama, E., French, K., 1987. Commodity futures prices: some evidence on forecast power, premium and the theory of storage. Journal of Business 60, 55-73.
    • (1987) Journal of Business , vol.60 , pp. 55-73
    • Fama, E.1    French, K.2
  • 15
    • 84959841139 scopus 로고
    • Forward discount bias: Is it a exchange risk premium?
    • Froot, K.A., Frankel, J., 1989. Forward discount bias: is it a exchange risk premium?. Quarterly Journal of Economics 104, 139-161.
    • (1989) Quarterly Journal of Economics , vol.104 , pp. 139-161
    • Froot, K.A.1    Frankel, J.2
  • 17
    • 49049129486 scopus 로고
    • Tests of non-nested regression models: Small sample adjustments and Monte Carlo evidence
    • Godfrey, L.G., Peseran, H., 1983. Tests of non-nested regression models: small sample adjustments and Monte Carlo evidence. Journal of Econometrics 21, 133-154.
    • (1983) Journal of Econometrics , vol.21 , pp. 133-154
    • Godfrey, L.G.1    Peseran, H.2
  • 18
    • 84981566273 scopus 로고
    • Development in the study of cointegrated economic variables
    • Granger, C.W.J., 1986. Development in the study of cointegrated economic variables. Oxford Bulletin of Economics and Statistics 48, 213-228.
    • (1986) Oxford Bulletin of Economics and Statistics , vol.48 , pp. 213-228
    • Granger, C.W.J.1
  • 19
    • 38249024451 scopus 로고
    • Market efficiency and cointegration: A application to the sterling and deutchemark exchange markets
    • Hakkio, C.S., Rush, M., 1989. Market efficiency and cointegration: a application to the sterling and deutchemark exchange markets. Journal of International Money and Finance 8, 75-88.
    • (1989) Journal of International Money and Finance , vol.8 , pp. 75-88
    • Hakkio, C.S.1    Rush, M.2
  • 20
    • 84864410847 scopus 로고
    • Testing for a unit root in time series with pre-test data-based model selection
    • Hall, A., 1994. Testing for a unit root in time series with pre-test data-based model selection. Journal of Business and Economics Statistics 12, 461-470.
    • (1994) Journal of Business and Economics Statistics , vol.12 , pp. 461-470
    • Hall, A.1
  • 21
    • 84952494734 scopus 로고
    • Tests of parameter instability in regressions with I(1) processes
    • Hansen, B.E., 1992. Tests of parameter instability in regressions with I(1) processes. Journal of Business and Economic Statistics 10, 321-335.
    • (1992) Journal of Business and Economic Statistics , vol.10 , pp. 321-335
    • Hansen, B.E.1
  • 22
    • 0001884299 scopus 로고
    • A review of methods of estimating cointegration relationships
    • Hargreaves, C. (Ed.). Oxford Univ. Press
    • Hargreaves, C., 1993. A review of methods of estimating cointegration relationships. In Hargreaves, C. (Ed.). Non-stationary time series analysis and cointegration. Oxford Univ. Press, pp. 87-131.
    • (1993) Non-Stationary Time Series Analysis and Cointegration , pp. 87-131
    • Hargreaves, C.1
  • 24
    • 44049117018 scopus 로고
    • Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK
    • Johansen, S., Juselius, K., 1992. Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK. Journal of Econometrics 53, 211-244.
    • (1992) Journal of Econometrics , vol.53 , pp. 211-244
    • Johansen, S.1    Juselius, K.2
  • 25
    • 84981579311 scopus 로고
    • Maximum likelihood estimation and inference on cointegration with applications to the demand of money
    • Johansen, S., Juselius, K., 1990. Maximum likelihood estimation and inference on cointegration with applications to the demand of money. Oxford Bulletin of Economics and statistics 52, 169-210.
    • (1990) Oxford Bulletin of Economics and Statistics , vol.52 , pp. 169-210
    • Johansen, S.1    Juselius, K.2
  • 26
    • 0039542251 scopus 로고
    • Forward pricing models for futures markets: Some statistical and interpretive issues
    • Kahl, K., Tomek, W., 1986. Forward pricing models for futures markets: some statistical and interpretive issues. Food Research Institute Studies 20, 71-85.
    • (1986) Food Research Institute Studies , vol.20 , pp. 71-85
    • Kahl, K.1    Tomek, W.2
  • 27
    • 84959751576 scopus 로고
    • A framework for comparing the efficiency of futures markets
    • Kofi, T., 1973. A framework for comparing the efficiency of futures markets. American Journal of Agricultural Economics 55, 584-594.
    • (1973) American Journal of Agricultural Economics , vol.55 , pp. 584-594
    • Kofi, T.1
  • 28
  • 29
    • 77956801605 scopus 로고
    • Empirical studies of exchange rates: Price behavior, rate determination and market efficiency
    • Jones, R.J. (Ed.). North Holland, Amsterdam
    • Levich, R.M., 1985. Empirical studies of exchange rates: price behavior, rate determination and market efficiency. In: Jones, R.J. (Ed.). Handbook of international economics. North Holland, Amsterdam, pp. 979-1040.
    • (1985) Handbook of International Economics , pp. 979-1040
    • Levich, R.M.1
  • 31
    • 38249026083 scopus 로고
    • Foreign exchange rates and cointegration: Some evidence from the recent float
    • MacDonald, R., Taylor, MR., 1989. Foreign exchange rates and cointegration: some evidence from the recent float. Economics Letters 29, 63-68.
    • (1989) Economics Letters , vol.29 , pp. 63-68
    • MacDonald, R.1    Taylor, M.R.2
  • 33
    • 0000631178 scopus 로고
    • A note with quantiles of the asymptotic distribution of the maximum likelihood cointegration rank test tatistics
    • Osterwald-Lenum, M., 1992. A note with quantiles of the asymptotic distribution of the maximum likelihood cointegration rank test tatistics. Oxford Bulletin of Economics and Statistics 54, 461-471.
    • (1992) Oxford Bulletin of Economics and Statistics , vol.54 , pp. 461-471
    • Osterwald-Lenum, M.1
  • 34
    • 84978563066 scopus 로고
    • Potential use of futures markets for international marketing of Côte d'Ivoire coffee
    • Ouattara, K., Schroeder, T.C., Sorenson, L.O., 1990. Potential use of futures markets for international marketing of Côte d'Ivoire coffee. Journal of Futures Markets 10, 113-121.
    • (1990) Journal of Futures Markets , vol.10 , pp. 113-121
    • Ouattara, K.1    Schroeder, T.C.2    Sorenson, L.O.3
  • 35
    • 84959818799 scopus 로고
    • Statistical inference in instrumental variables regression with I(1) processes
    • Phillips, P.C.B., Hansen, B.E., 1990. Statistical inference in instrumental variables regression with I(1) processes. Review of Economic Studies 57, 99-125.
    • (1990) Review of Economic Studies , vol.57 , pp. 99-125
    • Phillips, P.C.B.1    Hansen, B.E.2
  • 36
    • 77956888124 scopus 로고
    • Testing for unit root in time series regression
    • Phillips, P.C.B, Perron, P., 1988. Testing for unit root in time series regression. Biometrica, 75: 335-346.
    • (1988) Biometrica , vol.75 , pp. 335-346
    • Phillips, P.C.B.1    Perron, P.2
  • 37
    • 84981671302 scopus 로고
    • Models specification error and inference: A discussion of some problems in econometric methodology
    • Ramsey, M.B., 1970. Models specification error and inference: a discussion of some problems in econometric methodology. Bulletin of the Oxford Institute of Economics and Statistics, 32: 301-318.
    • (1970) Bulletin of the Oxford Institute of Economics and Statistics , vol.32 , pp. 301-318
    • Ramsey, M.B.1
  • 38
    • 0006658202 scopus 로고
    • Informational efficiency of commodity futures prices
    • Serletis, A., Scowcroft, D., 1991. Informational efficiency of commodity futures prices. Applied Financial Economics 1, 185-192.
    • (1991) Applied Financial Economics , vol.1 , pp. 185-192
    • Serletis, A.1    Scowcroft, D.2
  • 39
    • 0022165342 scopus 로고
    • Use of futures markets for exports by less developed countries
    • Thompson, S., 1985. Use of futures markets for exports by Less Developed Countries. American Journal of Agricultural Economics 67, 986-991.
    • (1985) American Journal of Agricultural Economics , vol.67 , pp. 986-991
    • Thompson, S.1
  • 40
    • 0038231121 scopus 로고
    • Oxford Univ. Press, New York
    • World Bank, 1994. World development report. Oxford Univ. Press, New York.
    • (1994) World Development Report


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.