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dc.contributor.advisor Moholwa, M.B. Mashamaite, Makwena Phistos 2013-08-23T06:52:47Z 2013-08-23T06:52:47Z 2005
dc.description Thesis (M.Sc. ( Agricultural Economics )) --University of Limpopo, 2005 en_US
dc.description.abstract The deregulation of agricultural markets in South Africa led to the establishment of a futures market for agricultural products, which was opened in January 1995. The marketing of Agricultural products act No. 47 of 1996 was passed at the end of 1996. The new Marketing of Agricultural Products Act (Act No. 47 of 1996) in South Africa has created an environment in which farmers, traders and processors are able to react positively to transparent prices that are market related. Agricultural futures markets serve several important functions, such as price risk management, price discovery and forward pricing. Economists around the world have studied vertical and spatial price relationships, and the behaviour of price changes in futures markets using asymmetry tests. Price asymmetry results in futures markets have a number of important implications. Firstly, traditional models in time series may be slightly biased when forecasting future prices, because they assume price symmetry. Secondly, asymmetry results may imply that the weak-form efficient markets hypothesis appears to be contradicted, thus indicating that past prices do affect current prices and do contain information. Lastly, if persistent asymmetry is found in futures markets, market regulators and policy makers may wish to use asymmetric information to improve the functioning and stability of futures markets through improved price limit and margin policies. Implementing policies iv accounting for asymmetric behaviour may help avoid market crashes and sudden unexpected price adjustments adversely affecting market participants. This study tests the existence of price asymmetry in South African futures markets for white and yellow maize, wheat and sunflower seeds using a dynamic price asymmetry model. The sum of coefficients test and the speed of adjustment test are used to determine whether or not prices move up in the same fashion as they move down, over daily and weekly data frequencies. Out of the four commodity futures markets studied over varying data frequencies, only daily wheat is price asymmetric. Wheat daily prices respond faster to price decreases than to price increases. The implication of the results is that past prices do affect current prices and contain information. Hence, the weak-form efficient market hypothesis appears to be contradicted for wheat futures market. Another important implication of the results is that implementing policies accounting for asymmetric behavior through price limit and margin policies will improve the functioning and stability of wheat futures market in South Africa. en_US
dc.description.sponsorship National Research Foundation, and the University of Limpopo en_US
dc.format.extent viii, 62 leaves en_US
dc.language.iso en en_US
dc.publisher University of Limpopo (Turfloop Campus) en_US
dc.relation.requires pdf en_US
dc.subject Price asymmetry en_US
dc.subject Markets en_US
dc.subject Agricultural commodities en_US
dc.subject.ddc 338.130968 en_US
dc.subject.lcsh Agricultural prices -- South Africa en_US
dc.subject.lcsh Agricultural industries -- South Africa en_US
dc.subject.lcsh Markets -- South Africa en_US
dc.title Price asymmetry in South African futures markets for agricultural commodities en_US
dc.type Thesis en_US

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