Kebede, Yohannes - Volkswirtschaftliche Fakultät, … - 1992
Tests for causality and rationality in the coffee futures market were carried out using data from the New York Market … spot to futures. Risk constancy or neutrality, equality of risk premium and spot price, and efficiency were rejected for … the period 18, 51, and 33 weeks or more to maturity. However, simultaneity of risk neutrality and efficiency was accepted …