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Market Efficiency in Agricultural commodities: Vector error correction model (VECM) Approach

Author

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  • Mahmoud Ali AMASSAIB

    (Department of Agricultural Economics and Agribusiness, Faculty of Natural Resource and Environmental Studies, University of Kordofan, Elobeid, Sudan, Oman)

  • Mohammed Salih Adam ABDALLA

    (Department of Projects, Institute of Research and Consultancy, King Faisal University, Saudi Arabia, Oman)

  • Tarig GIBREEL

    (Department of Natural Resources Economics, College of Agricultural and Marine Sciences, Sultan Qaboos University, Oman)

Abstract

The study was conducted in Elobied Crops Market to investigate the efficiency market hypothesis (EMH) for sesame, groundnut, and Arabic gum crops. The study used Augmented-Dickey Fuller (ADF) method, Johansen multivariate approach, and Vector error correction model (VECM), and co-integration method. Data was obtained from the Elobied Crops Market database for annual prices and quantities of trading commodities from 1990 to 2017.The study concluded that there is a weak form of EMH for sesame and groundnut and a semi-strong of EMH for Arabic gum.

Suggested Citation

  • Mahmoud Ali AMASSAIB & Mohammed Salih Adam ABDALLA & Tarig GIBREEL, 2022. "Market Efficiency in Agricultural commodities: Vector error correction model (VECM) Approach," International Journal of Research and Innovation in Social Science, International Journal of Research and Innovation in Social Science (IJRISS), vol. 6(9), pages 174-179, September.
    • Handle: RePEc:bcp:journl:v:6:y:2022:i:9:p:174-179
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    References listed on IDEAS

    as
    1. Hallam, David & Zanoli, Raffaele, 1993. "Error Correction Models and Agricultural Supply Response," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 20(2), pages 151-166.
    2. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 106-135.
    3. Olubode-Awosola, O.O. & Oyewumi, Olubukola Ayodeju & Jooste, Andre, 2006. "Vector error correction modelling of Nigerian agricultural supply response," Agrekon, Agricultural Economics Association of South Africa (AEASA), vol. 45(4), pages 1-16, December.
    4. Kon S. Lai & Michael Lai, 1991. "A cointegration test for market efficiency," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 11(5), pages 567-575, October.
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