EFFICIENCY OF FOREST COMMODITY FUTURES MARKETS
| dc.creator | He, Dequan | |
| dc.creator | Holt, Matthew T. | |
| dc.date | 2017-04-01T13:44:55Z | |
| dc.date.accessioned | 2026-07-09T03:31:05Z | |
| dc.description | Market efficiency and unbiasedness tests are performed for the first time for three forest commodity futures markets: softwood lumber, oriented strand board (OSB), and northern bleached softwood kraft pulp (NBSK). The Johansen cointegration procedure is applied to test long-term market efficiency, while the standard error correction models (ECM) and ECM with GQARCH-in-mean process are also used to examine short-term market efficiency and unbiasedness. Results show that these markets are inefficient and biased in both the long-term and short-term. Results also indicate that no short-term time-varying risk premiums are found in these commodity futures markets. | |
| dc.identifier | doi:10.22004/ag.econ.20344 | |
| dc.identifier | https://ageconsearch.umn.edu/record/20344/files/sp04he03.pdf | |
| dc.identifier | http://ageconsearch.umn.edu/record/20344 | |
| dc.identifier.uri | http://hdl.handle.net/123456789/534024 | |
| dc.language | eng | |
| dc.publisher | ||
| dc.source | http://ageconsearch.umn.edu/record/20344 | |
| dc.title | EFFICIENCY OF FOREST COMMODITY FUTURES MARKETS | |
| dc.type | Text |