Market Efficiency Test on RSS3 in Agricultural Futures Exchange (in English)
The study investigates the efficiency of futures pricing for ribbed smoked rubber sheet no.3 (RSS3) during the period 2004-2007. It addresses the question “Is price discovery process in RSS3 futures market efficient?” Time series data from RSS3 of TOCOM was used as a leading indicator for the rubber price on the Agricultural Futures Exchange of Thailand. The results indicate that the monthly futures prices served as unbiased estimators of futures spot prices and there was no dependence on daily price changes. The tests consistently supported the unbiased hypothesis which implies that Thailand’s RSS3 futures market is efficient and aids the process of price discovery. This study would fill the information gap in the prediction of futures spot prices with a guide to understanding how the futures market behaves.
Keywords: agricultural futures market, market efficiency, unbiased hypothesis, RSS3
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