Market efficiency of US grain markets: Application of cointegration tests

This study examines the market efficiency hypothesis of US major grain markets. Cointegration among grain spot prices is argued to violate the weak form of the efficient market hypothesis (EMH). Bivariate and multivariate Johansen cointegration analyses are conducted and prove no presence of cointegrated grain prices. The finding lends support to the EMH in US grain markets. It suggests that little possibility exists to make speculative profits across US grain markets in the long run and that the unsystematic risk across the grain markets can be reduced by the diversified investment portfolios. © 1998 John Wiley & Sons, Inc.