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Arbitrage, cointegration and testing the unbiasedness hypothesis in coffee futures traded at the CSCE

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  • Malini, Nair

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.

Suggested Citation

  • Malini, Nair, 2005. "Arbitrage, cointegration and testing the unbiasedness hypothesis in coffee futures traded at the CSCE," MPRA Paper 37530, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:37530
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    References listed on IDEAS

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    More about this item

    Keywords

    Coffee futures; Error Correction Model; Dickie Fuller Test; Johansen Procedure;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics

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