신곡(New Crop) 선물계약의 가격발견기능에 관한 실증 연구

• 영문명: An Analysis of the Price Discovery Function of New Crop Corn and Soybean Futures
• 발행기관: 한국농식품정책학회
• 저자명: 윤병삼 노재선
• 간행물 정보: 『농업경영.정책연구』농업경영·정책연구 30권 4호, 701~717쪽, 전체 17쪽
• 주제분류: 농수해양 > 식품과학
• 파일형태: PDF
• 발행일자: 2003.12.31

영문 초록

This study is to examine the price discovery function of new crop futures contracts by evaluating the ability of December corn and November soybean futures prices at planting time to predict harvest prices. Both the price level model and the price change rate model were employed. Regression results from the price change rate model indicate that the planting time futures price is an unbiased estimate of the harvest time price for corn and soybeans. The results are consistent with the Efficient Market Hypothesis(EMH). Market efficiency suggests that individual producers should maximize their production efficiency(or minimize the cost of production) rather than make efforts to improve their revenue through better marketing strategies.

목차

Abstract

I. 서론

II. 분석방법

III. 분석자료

IV. 분석결과

V. 결론 및 시사점

참고문헌

키워드

Price Discovery Function Unbiased Estimate GMM(Generalized Method of Moments) Efficient Market Hypothesis(EMH)