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- W3124156977 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." @default.
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- W3124156977 date "2006-01-01" @default.
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- W3124156977 title "US Coffe C Futures: Some results from the test of cointegration and GARCH" @default.
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