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Volume 44, Issue 3, September 2005 >
Please use this identifier to cite or link to this item:
http://purl.umn.edu/31722
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| Title: | Price asymmetry in South African futures markets for agricultural commodities |
| Authors: | Mashamaite, P.
Moholwa, B. |
| Authors (Email): | Moholwa, B. (moholwam@unorth.ac.za) |
| Issue Date: | 2005-09 |
| Abstract: | This paper tests the existence of price asymmetry in South African futures markets for white and yellow maize, wheat and sunflower seeds using a dynamic price asymmetry model. The sum of coefficients test and the speed of adjustment test are used to determine whether or not prices move up in the same fashion as they move down, over daily and weekly data frequencies. Out of the four commodity futures markets studied over varying data frequencies, only daily wheat is price asymmetric. Wheat daily prices respond faster to price decreases than to price increases. The implication of the results is that past prices do affect current prices and contain information. Hence, the weak-form efficient market hypothesis appears to be contradicted for wheat futures market. Another important implication of the results is that implementing policies accounting for asymmetric behavior through price limit and margin policies will improve the functioning and stability of wheat futures market in South Africa. |
| URI: | http://purl.umn.edu/31722 |
| Institution/Association: | Agrekon>Volume 44, Issue 3, September 2005 |
| Total Pages: | 11 |
| Language: | English |
| Journal Issue : | Agrekon |
| Journal Volume: | 44 |
| Journal Date: | September 2005 |
| From Page: | 423 |
| To Page: | 433 |
| Collections: | Volume 44, Issue 3, September 2005
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| 44030423.pdf | 177Kb | PDF | View/Open |
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