Since two commodity futures markets are organized in Thailand – the Thailand Futures Exchange (TFEX) and the Agricultural Futures Exchange of Thailand (AFET), non-agricultural commodity (gold and Brent crude oil) is traded in TFEX while agricultural commodity (rubber, rice, tapioca chip) is traded in AFET. This paper not only examines non-agricultural and agricultural commodity futures prices but also compares the efficiency in these two markets. Fundamentally, the results reveal the non-stationary in daily spot prices as well as futures prices for all products. The Cointegration method allowing constant risk premium is applied for the long-run efficiency testing and the Error Correction Models with constant and time-varying risk premium are employed for the short-run efficiency testing. The main results are beneficial to 1) the hedgers as well as speculators in terms of predicting futures prices 2) the regulators in terms of market intervention policies.
Santi Termprasertsakul, Srinakharinwirot University, Thailand
Stream: G – Financial Economics
This paper is part of the EBMC2016 Conference Proceedings (View)
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