Futures contracts pricing and futures price unbiasedness (FPU) hypothesis: Argentinean wheat market

This paper tested an arbitrage pricing model for futures contracts on commodities with storage costs. We found that this method proves to be very accurate in describing the behaviour of futures prices for wheat at the Argentine grain futures exchange, the "Bolsa de Cereales de Buenos Aires"...

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Detalles Bibliográficos
Autores principales: Grinberg, Damián, Schreck, Esteban, Treachi, Alejo
Otros Autores: Universidad Torcuato Di Tella
Formato: Tesis de grado acceptedVersion
Lenguaje:Español
Publicado: Universidad Torcuato Di Tella 2017
Materias:
Bolsa de Cereales de Buenos Aires (Argentina)
Modelos económicos
Econometría > Modelos econométricos
Precios
Tesis
Acceso en línea:http://repositorio.utdt.edu/handle/utdt/1231
Aporte de:
Repositorio Digital Universidad Torcuato Di Tella de Universidad Torcuato Di Tella
id I57-R16320.500.13098-1231
record_format dspace
institution Universidad Torcuato Di Tella
institution_str I-57
repository_str R-163
collection Repositorio Digital Universidad Torcuato Di Tella
language Español
orig_language_str_mv spa
topic Bolsa de Cereales de Buenos Aires (Argentina)
Modelos económicos
Econometría -- Modelos econométricos
Precios
Tesis
spellingShingle Bolsa de Cereales de Buenos Aires (Argentina)
Modelos económicos
Econometría -- Modelos econométricos
Precios
Tesis
Grinberg, Damián
Schreck, Esteban
Treachi, Alejo
Futures contracts pricing and futures price unbiasedness (FPU) hypothesis: Argentinean wheat market
description This paper tested an arbitrage pricing model for futures contracts on commodities with storage costs. We found that this method proves to be very accurate in describing the behaviour of futures prices for wheat at the Argentine grain futures exchange, the "Bolsa de Cereales de Buenos Aires" (BCBA). A direct test of the futures-price-unbiasedness (FPU) proposition -which states that futures prices are unbiased estimators of future spot prices- was done. The results support the validity of the proposition within the Argentine market. Finally, a theoretical exercise based on Samuelson's classic paper (1965) about the behaviour of futures prices was done together with a brief analysis of arbitrage opportunities. This sections shows that during the analysed period (1991-1996) arbitrage opportunities were only found when abnormal information was introduced and that over the years there was no pattern which would have allowed seasonal arbitrage. We also found that on average, futures prices were better spot prices predictors than a spot price ARIMA econometric model.
author2 Universidad Torcuato Di Tella
author_facet Universidad Torcuato Di Tella
Grinberg, Damián
Schreck, Esteban
Treachi, Alejo
format Tesis de grado
acceptedVersion
author Grinberg, Damián
Schreck, Esteban
Treachi, Alejo
author_sort Grinberg, Damián
title Futures contracts pricing and futures price unbiasedness (FPU) hypothesis: Argentinean wheat market
title_short Futures contracts pricing and futures price unbiasedness (FPU) hypothesis: Argentinean wheat market
title_full Futures contracts pricing and futures price unbiasedness (FPU) hypothesis: Argentinean wheat market
title_fullStr Futures contracts pricing and futures price unbiasedness (FPU) hypothesis: Argentinean wheat market
title_full_unstemmed Futures contracts pricing and futures price unbiasedness (FPU) hypothesis: Argentinean wheat market
title_sort futures contracts pricing and futures price unbiasedness (fpu) hypothesis: argentinean wheat market
publisher Universidad Torcuato Di Tella
publishDate 2017
url http://repositorio.utdt.edu/handle/utdt/1231
work_keys_str_mv AT grinbergdamian futurescontractspricingandfuturespriceunbiasednessfpuhypothesisargentineanwheatmarket
AT schreckesteban futurescontractspricingandfuturespriceunbiasednessfpuhypothesisargentineanwheatmarket
AT treachialejo futurescontractspricingandfuturespriceunbiasednessfpuhypothesisargentineanwheatmarket
bdutipo_str Repositorios
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