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| He, Dequan; Holt, Matthew T.. |
| 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. |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Marketing. |
| Ano: 2004 |
URL: http://purl.umn.edu/20344 |
