신곡(New Crop) 선물계약의 가격발견기능에 관한 실증 연구

An Analysis of the Price Discovery Function of New Crop Corn and Soybean Futures

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.