Malini, Nair (2005): Arbitrage, cointegration and testing the unbiasedness hypothesis in coffee futures traded at the CSCE.
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The objective of this study was to test the market efficiency hypothesis of Colombian coffee. This is of extreme importance to Colombia because the exports of coffee from this country provides for valuable foreign exchange and provides employment for her people. Historically this country has been concerned with the volatility of spot markets and used buffer stocks and quotas to protect her from price risk. The previous futures prices were found to be an unbiased predictor of current spot prices indicating the markets are efficient.
|Item Type:||MPRA Paper|
|Original Title:||Arbitrage, cointegration and testing the unbiasedness hypothesis in coffee futures traded at the CSCE|
|English Title:||Arbitrage, cointegration and testing the unbiasedness hypothesis in coffee futures traded at the CSCE|
|Keywords:||Coffee futures, Error Correction Model, Dickie Fuller Test, Johansen Procedure|
|Subjects:||C - Mathematical and Quantitative Methods > C2 - Single Equation Models; Single Variables > C22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
C - Mathematical and Quantitative Methods > C0 - General > C01 - Econometrics
|Depositing User:||Malini Nair|
|Date Deposited:||21. Mar 2012 15:01|
|Last Modified:||17. Feb 2013 15:15|
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