Market efficiency of US grain markets: Application of cointegration tests

Jian Yang · David J. Leatham

53 citations0/0 files storedAgribusiness

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Financial Markets and Investment Strategies Economics of Agriculture and Food Markets Market Dynamics and Volatility

Abstract

This study examines the market efficiency hypothesis of US major grain markets. Cointegration among grain spot prices is argued to violate the weak form of the efficient market hypothesis (EMH). Bivariate and multivariate Johansen cointegration analyses are conducted and prove no presence of cointegrated grain prices. The finding lends support to the EMH in US grain markets. It suggests that little possibility exists to make speculative profits across US grain markets in the long run and that the unsystematic risk across the grain markets can be reduced by the diversified investment portfolios. © 1998 John Wiley & Sons, Inc.

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1988Testing for a Unit Root in Time Series Regression 1988Statistical analysis of cointegration vectors 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY 1987COINTEGRATION AND ERROR CORRECTION: REPRESENTATION 1989Common Stochastic Trends in a System of Exchange Rates

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