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Contesting the efficient market hypothesis for the Chicago Board of Trade corn futures contract through the application of a derivative methodologyRossouw, Werner 11 1900 (has links)
Corn production is scattered geographically over various continents, but most of it is grown
in the United States. As such, the world price of corn futures contracts is largely dominated
by North American corn prices as traded on the Chicago Board of Trade. In recent years,
this market has been characterised by an increase in price volatility and magnitude of price
movement as a result of decreasing stock levels. The development and implementation of
an effective and successful derivative price risk management strategy based on the
Chicago Board of Trade corn futures contract will therefore be of inestimable value to
market stakeholders worldwide.
The research focused on the efficient market hypothesis and the possibility of contesting
this phenomenon through an application of a derivative price risk management
methodology. The methodology is based on a combination of an analysis of market trends
and technical oscillators with the objective of generating returns superior to that of a
market benchmark.
The study found that market participants are currently unable to exploit price movement in
a manner which results in returns that contest the notion of efficient markets. The
methodology proposed, however, does allow the user to consistently achieve returns
superior to that of a predetermined market benchmark. The benchmark price for the
purposes of this study was the average price offered by the market over the contract
lifetime, and such, the efficient market hypothesis was successfully contested. / Business Management / D. Com. (Business Management)
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2 |
Contesting the efficient market hypothesis for the Chicago Board of Trade corn futures contract through the application of a derivative methodologyRossouw, Werner 11 1900 (has links)
Corn production is scattered geographically over various continents, but most of it is grown
in the United States. As such, the world price of corn futures contracts is largely dominated
by North American corn prices as traded on the Chicago Board of Trade. In recent years,
this market has been characterised by an increase in price volatility and magnitude of price
movement as a result of decreasing stock levels. The development and implementation of
an effective and successful derivative price risk management strategy based on the
Chicago Board of Trade corn futures contract will therefore be of inestimable value to
market stakeholders worldwide.
The research focused on the efficient market hypothesis and the possibility of contesting
this phenomenon through an application of a derivative price risk management
methodology. The methodology is based on a combination of an analysis of market trends
and technical oscillators with the objective of generating returns superior to that of a
market benchmark.
The study found that market participants are currently unable to exploit price movement in
a manner which results in returns that contest the notion of efficient markets. The
methodology proposed, however, does allow the user to consistently achieve returns
superior to that of a predetermined market benchmark. The benchmark price for the
purposes of this study was the average price offered by the market over the contract
lifetime, and such, the efficient market hypothesis was successfully contested. / Business Management / D. Com. (Business Management)
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