dc.contributor.authorNguyen, Minh Khoaen_US
dc.contributor.authorTran, Lan Anhen_US
dc.contributor.authorVo Thi, Thu Hienen_US
dc.date.accessioned2008-09-24T07:44:05Z
dc.date.available2008-09-24T07:44:05Z
dc.date.copyright2007en_US
dc.date.issued2007
dc.identifier.urihttp://hdl.handle.net/10356/10478
dc.description.abstractThis study tests the market efficiency of commodity futures market in China and Thailand. We apply the Johansen approach to examine the unbiasedness hypothesis for soy bean meal, hard white winter wheat, natural rubber (China) and rubber RSS3 (Thailand) commodity futures over the period of 2001 to 2006. Our findings are not consistent among the markets. The results for soy bean meal and rubber RSS3 suggest that futures prices of these commodity futures are an effective predictor of their respective cash price. However, the natural rubber futures market appears to be inefficient and futures and cash price of hard white winter wheat do not follow the random walk. The results have important price risk management and price discovery implications for participants in the commodity futures market in China and Thailand.en_US
dc.rightsNanyang Technological Universityen_US
dc.subjectDRNTU::Business::Finance::Futures
dc.titleMarket efficiency of China and Thailand commodity futures exchangesen_US
dc.typeFinal Year Project (FYP)en_US
dc.contributor.supervisorCharoenwong, Charlieen_US
dc.contributor.schoolCollege of Business (Nanyang Business School)en_US


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