Arbitrage, Cointegration and Testing the Unbiasedness Hypothesis in Coffee Futures Traded at the CSCE

Malini, Nair (2005): Arbitrage, Cointegration and Testing the Unbiasedness Hypothesis in Coffee Futures Traded at the CSCE.

Abstract

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
• Language: English
• Keywords: Coffee futures, Error Correction Model, Dickie Fuller Test, Johansen Procedure
• Subjects: D - Microeconomics > D8 - Information, Knowledge, and Uncertainty > D81 - Criteria for Decision-Making under Risk and Uncertainty; G - Financial Economics > G2 - Financial Institutions and Services > G22 - Insurance ; Insurance Companies ; Actuarial Studies; C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C25 - Discrete Regression and Qualitative Choice Models ; Discrete Regressors ; Proportions ; Probabilities; C - Mathematical and Quantitative Methods > C0 - General > C01 - Econometrics

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