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Testing The Efficiency Of The South African Futures Market For White Maize

Author

Listed:
  • Wiseman, J.A.
  • Darroch, M.A.G.
  • Ortmann, G.F.
Abstract
Cointegration analysis is used to test whether the South African futures market for white maize was efficient (futures prices predict spot (cash) prices that reflect all publicly available information) in 1997 and 1998. Tests are also conducted to assess whether or not white maize futures prices are unbiased predictors of future spot prices (for effective price discovery). There was no long-run relationship between white maize futures and spot prices for 1997, but there is evidence of a long-run relationship between these price series in 1998. Furthermore, the 1998 futures price was an unbiased predictor of future spot prices for both the annual and three-month contract. This could be evidence of a market learning process and a progression towards efficiency, which has seen a marked increase in market liquidity (contract volumes traded) since late 1996.

Suggested Citation

  • Wiseman, J.A. & Darroch, M.A.G. & Ortmann, G.F., 1999. "Testing The Efficiency Of The South African Futures Market For White Maize," Agrekon, Agricultural Economics Association of South Africa (AEASA), vol. 38(3).
    • Handle: RePEc:ags:agreko:245974
    DOI: 10.22004/ag.econ.245974
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    References listed on IDEAS

    as
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    Cited by:

    1. Nordier, Jean-Pierre, 2021. "Identifying possible misspecification in South African soybean oil future contracts," Research Theses 334756, Collaborative Masters Program in Agricultural and Applied Economics.
    2. repec:ags:ijag24:345253 is not listed on IDEAS

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