Applied Financial Economics, 1991, 1, 185-192
Informational efficiency modity
futures prices
APOSTOLOS SERLETIS* and DAVID SCOWCROFT*
* Department of Economics, The University of Calgary, Calgary, Alberta T2N 1N4,
Canada and ^Department of Economics, Queen's University, Kingston, Ontario
K7L 3N6, Canada
Recent developments in the theory of cointegration are employed to test the assump-
tion that modity markets are efficient. The results are consistent with such
market efficiency. The presence of time-varying risk premia, conditional on the
assumption of market efficiency, is also investigated. The evidence suggests that such
premia are present in modity markets.
I. INTRODUCTION by Phillips and Perron (1988)) and that the markets under
consideration are efficient (futures and spot prices are coin-
An important insight into the mechanics of asset markets tegrated). These results are strikingly different to an earlier
has been derived from an application of efficient asset study by Rausser and Carter (1983) of market efficiency in
market theory developed originally by Fama (1970), The the plex (soybean, soybean meal, and soybean
issue under consideration is whether asset prices fully reflect oil, three of modities we tested), although very
available information or, conversely, whether there are sys- similar to a study of spot and forward exchange rates by
temat
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