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Contribution Details

Type Master's Thesis
Scope Discipline-based scholarship
Title Is the future market for soybeans efficient? Forecasting soybean prices using time series models
Organization Unit
Authors
  • Marco Samsinger
Supervisors
  • Jacqueline Haverals
  • Michel Habib
Language
  • English
Institution University of Zurich
Faculty Faculty of Business, Economics and Informatics
Number of Pages 58
Date 2018
Abstract Text This thesis examines the market efficiency within the soybean futures market. Efficiency is important for market participants as well as policy makers. Researchers have found mixed results on the efficiency of the soybean market. Using cointegration methodology, the short and long run efficiency of the soybean market is determined. In addition, the forecasting performance of the soybean futures market is analysed and compared to out-of-sample forecasts by an error-correction model, random walk model, and Support Vector Regression model. Based on Data of future soybean contracts from the Chicago Mercentile Exchange (CME) between 2007-2017, the results of the cointegration test provide evidence that the future market for soybeans is efficient in the long but not the short run. Model predictions do not outperform forecasts implied by future prices, indicating that market participants can rely on future prices as predictors of future spot prices.
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