Market Efficiency and Price Discovery in Cocoa Markets

被引：1

作者：

Ohemeng, Williams ^{[1
]}

Sjo, Bo ^{[2
]}

Danquah, Michael ^{[3
]}

机构：

[1] GIMPA Business Sch, Accra, Ghana

[2] Linkoping Univ, S-58183 Linkoping, Sweden

[3] Univ Ghana, Dept Econ, Legon, Accra, Ghana

来源：

JOURNAL OF AFRICAN BUSINESS | 2016年 / 17卷 / 02期

关键词：

Efficient markets; price discovery; commodities;

D O I：

10.1080/15228916.2016.1142801

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper tests the efficiency and price discovery mechanism in the cocoa cash and futures markets over the period March 1981-August 2009. The results indicate that the price discovery is done in the cash market and spreads to the futures markets and that the futures price can be seen as an unbiased predictor of future cash prices. There is no sign of a risk premium in the futures price. Since the cash behaves like a random walk we cannot reject market efficiency.

引用

页码：209 / 224

页数：16

共 50 条

[21] PRICE MOVEMENTS AND PRICE DISCOVERY IN FUTURES AND CASH MARKETS
GARBADE, KD
SILBER, WL
REVIEW OF ECONOMICS AND STATISTICS, 1983, 65 (02) : 289 - 297
[22] Price discovery in the aluminum market
Figuerola-Ferretti, I
Gilbert, CL
JOURNAL OF FUTURES MARKETS, 2005, 25 (10) : 967 - 988
[23] Price Discovery in Markets with Multiple Dealers
Romeu, Rafael
IMF STAFF PAPERS, 2010, 57 (02): : 450 - 483
[24] Price discovery in emerging currency markets
Kumar, Satish
RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE, 2018, 46 : 528 - 536
[25] Intraday price discovery in fragmented markets
Ozturk, Sait R.
van der Wel, Michel
van Dijk, Dick
JOURNAL OF FINANCIAL MARKETS, 2017, 32 : 28 - 48
[26] PRICE DISCOVERY IN FUTURES AND OPTIONS MARKETS
Boyd, Naomi
Locke, Peter
JOURNAL OF FUTURES MARKETS, 2014, 34 (09) : 853 - 867
[27] Price discovery in restructured electricity markets
Dempster, Gregory
Isaacs, Justin
Smith, Narin
RESOURCE AND ENERGY ECONOMICS, 2008, 30 (02) : 250 - 259
[28] Price Discovery in Markets with Multiple Dealers
Rafael Romeu
IMF Staff Papers, 2010, 57 : 450 - 483
[29] The determinants of price discovery on bitcoin markets
Entrop, Oliver
Frijns, Bart
Seruset, Marco
JOURNAL OF FUTURES MARKETS, 2020, 40 (05) : 816 - 837
[30] Price discovery in equity and CDS markets
Kryzanowski, Lawrence
Perrakis, Stylianos
Zhong, Rui
JOURNAL OF FINANCIAL MARKETS, 2017, 35 : 21 - 46

← 1 2 3 4 5 →