Us Coffee C Futures: Some Results from Test of Cointegration and GARCH

6 Pages Posted: 22 Aug 2008

See all articles by Milind Sathye

Milind Sathye

University of Canberra - School of Accounting, Banking and Finance; University of Canberra - School of Business and Government

Date Written: August 21, 2008

Abstract

The objective of this paper is to test whether the monthly prices of Coffee C futures and their corresponding spot prices provide evidence of an efficient market for Coffee C in the context of New York market. To achieve the objectives, we first test whether the series contain unit root, thereafter we apply co-integration tests and confirm the results thereof with Johansen procedures. Lastly, we apply the GARCH modelling. The study has important policy implications for governments, which are concerned with forecasting of the revenues from primary commodity exports. It will also enable them to decide if they can rely on futures market together with alternative strategies for stabilisation of exports. The study provides evidence that efficient market does exist for coffee C futures.

Keywords: Coffee 'C' Futures, prices of coffee, Efficient Market, GARCH modellling

JEL Classification: C22, C5, Q17

Suggested Citation

Sathye, Milind, Us Coffee C Futures: Some Results from Test of Cointegration and GARCH (August 21, 2008). Applied Econometrics and International Development, Vol. 6, No. 3, 2006, Available at SSRN: https://ssrn.com/abstract=1245182

Milind Sathye (Contact Author)

University of Canberra - School of Accounting, Banking and Finance ( email )

Canberra, Australian Capital Territory 2601
Australia

University of Canberra - School of Business and Government

Canberra, ACT 2601
Australia

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