咖啡期貨市場效率性檢定

Testing Efficiency of the Coffee Futures Market

沈中華(Chung-Hua Shen) ； 王儷容(Lee-Rang Wang)

《中國財務學刊》 2卷1期 (1994/07) Pp. 17-31

https://doi.org/10.6545/JoFS.1994.2(1).2

摘要

本文使用Markov Switching模型，探討美國CSCE的“咖啡C”期貨市場在面對一特殊的結構性變化一國際咖啡協定的瓦解一時，其市場有效率性的變動情形。本文發現，在1989年7月10日ICO開會決議停止國際咖啡協定之前，樣本資料乃完全由有效率的狀態所主控；而在7月10日ICO否決未來咖啡協定，一直到國際咖啡市場完全成為自由市場這段期間內，由於當時已到期、但於18日前觀察到的期貨契約早已決定了價格，因此該期貨價格無法反映此一新的訊息，但因當時相對之現貨價格卻可將此一新訊息納入考慮，而反映在其價格之變化上，故造成期貨市場運作之無效率。最後，當國際咖啡市場成為自由市場，不再受控於國際咖啡協定後，各種資訊也可充分反映於價格上，故實証結果顯示市場再度恢復為有效率狀態。

並列摘要

Traditional tests of market efficiency usually ignore the potential structural change. This paper employs a Markov model to show that the coffee futures pricing was efficient only before the veto and after the formal breakdown of the ICoA. In between this period, the market was inefficient in two senses. First, due to the time lag of futures traders ' response to the new information in July 1989, the futures price was a poor predictor of the spot price 18 days later. Second, when the new information was contained in the futures transactions of the September contract, the market did not adjust to market efficiency immediately. Results show that traders of both markets were learning to adjust to the new environment. The market gradually tends towards efficiency during this period.