查看文章

The concepts of market efficiency and unbiasedness are difficult to distinguish empirically. Market efficiency implies that future prices will equal expected future spot prices plus or minus a risk premium, while futures prices will be unbiased forecasters of futures spot prices only if the markets are both efficient and have no risk premia. The hypothesis that futures prices are unbiased forecasters of spot prices is thus a joint hypothesis of market efficiency and risk neutrality. Further, a market may be efficient and unbiased in the long run, but may exhibit short term inefficiencies.

This paper attempts two-stage Engle Granger (EG) cointegration procedure to test for long run market efficiency and unbiasedness in the refined soy oil (RSO) futures market. Wald test of coefficients restriction is used to test the efficiency and existence of risk premium. Four price series for futures and corresponding spot prices of different maturities are used to test the efficiency. Granger causality is employed to test the direction of price adjustment.