새우 선물시장의 투기 효율성에 관한 연구

The Speculative Efficiency of Frozen Shrimp Futures Market

The objective of this study is to examine the speculative efficiency of shrimp futures market. Testing for the speculative efficiency hypothesis is carried out using Johansen's the maximum-likelihood cointegration method and Fama(1984) regressison model. Analysis data are obtained Kansai Commodities Exchange in Osaka and are daily data of frozen shrimp futures and cash prices for all trading days in the time period from September 6, 2002, frozen shrimp futures is introduced, to May 10, 2007. The empirical results are summarized as follows:First, there exists the cointegrating relationship between realized spot India 16/20, Indonesia 16/20, vietnam 16/20 prices and futures prices of the 14 day to maturity. Second, shrimp futures contract prices do not behave as unbiased predictor s of future spot shrimp prices. This indicates that the shrimp futures market is inefficient.