| 초록 |
This study is to determine whether TGE corn futures price is an unbiased forecast of its underlying U.S. corn cash price The test for unbiasedness is a joint test of market efficiency and no-risk premium. The Johansen cointegration result shows that there exists a long-run equilibrium relationship beween U.S. corn cash prices and TGE corn futures prices. However, the Johansen likelihood ratio test rejects the null hypothesis of unbiasedness, suggesting the possible existence of either market inefficiency or risk premium. The error correction model(ECM) rejects the market efficiency, and ARCH-M model rejects the existence of risk premium. The results imply that the TGE com futures price is not an unbiased predictor of the U.S. corn cash price, and the biasedness is caused by the market inefficiency rather than the presence of risk premium.
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