Unbiasedness and Market Efficiency Tests of the U.S. Rice Futures Market

Posted: 23 Feb 2003

See all articles by Andrew M. McKenzie

Andrew M. McKenzie

University of Arkansas - Department of Agricultural Economics & Agribusiness

Bingrong Jiang

University of Arkansas

Harjanto Djunaidi

University of Arkansas - Dale Bumpers College of Agricultural, Food and Life Sciences

Linwood Hoffman

U.S. Department of Agriculture (USDA) - Economic Research Service (ERS)

Eric J. Wailes

University of Arkansas - Department of Agricultural Economics & Agribusiness

Abstract

This study examines short-run and long-run unbiasedness within the U.S. rice futures market. Standard OLS, cointegration, and error-correction models are used to determine unbiasedness. In addition, the forecasting performance of the rice futures market is analyzed and compared to out-of-sample forecasts derived from an additive ARIMA model and the error-correction model. The results of our unbiasedness tests and the forecasting performance of the rice futures market provide supporting evidence that the U.S. long-grain rough rice futures market is efficient. The results have important price risk management and price discovery implications for Arkansas and U.S. rice industry participants.

Suggested Citation

McKenzie, Andrew M. and Jiang, Bingrong and Djunaidi, Harjanto and Hoffman, Linwood and Wailes, Eric J., Unbiasedness and Market Efficiency Tests of the U.S. Rice Futures Market. Available at SSRN: https://ssrn.com/abstract=371500

Andrew M. McKenzie (Contact Author)

University of Arkansas - Department of Agricultural Economics & Agribusiness ( email )

Fayetteville, AR 72701
United States

Bingrong Jiang

University of Arkansas

Fayetteville, AR 72701
United States

Harjanto Djunaidi

University of Arkansas - Dale Bumpers College of Agricultural, Food and Life Sciences ( email )

Fayetteville, AR
United States

Linwood Hoffman

U.S. Department of Agriculture (USDA) - Economic Research Service (ERS) ( email )

355 E Street, SW
Washington, DC 20024-3221
United States

Eric J. Wailes

University of Arkansas - Department of Agricultural Economics & Agribusiness ( email )

Fayetteville, AR 72701
United States
39-6-5705-6894 (Phone)
39-6-5705-4495 (Fax)

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