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- W2254531106 abstract "This paper studies the efficiency in the Agricultural Futures Exchange of Thailand or AFET by means of the unbiased expectation hypothesis of futures. With non-stationarity problem in financial time series leading to unreliable results, this paper applies Cointegration methodology to solve the problem and employs the unbiased expectation hypothesis as the model for the empirical test. Though futures and spot prices are cointegrated, the rejection of the parameters restriction test is found. The final result shows that the futures of Ribbed Smoked Sheet no.3 (RSS3) is the only unbiased predictor, while White Rice 5% (BWR5) and Tapioca Chip (TC) are not." @default.
- W2254531106 created "2016-06-24" @default.
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- W2254531106 date "2009-04-13" @default.
- W2254531106 modified "2023-09-24" @default.
- W2254531106 title "Unbiaedness and Cointegration Testing: The Case of AFET" @default.
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