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INVESTORS’ MOTIVES AND PRICE TRENDS IN INTERNATIONAL MARKETS AND IN THE GRAIN SECTION OF THE BUDAPEST STOCK EXCHANGE1
Imre VÁMOS
; Szent István University, Gödöllő, Hungary, Faculty of Economics and Social Sciences
Zsuzsanna NOVÁK
; Szent István University, Gödöllő, Hungary, Faculty of Economics and Social Sciences
Sažetak
The operation of futures exchanges and the trading on the fl oor is hard to be interpreted without knowing the actors’ main motivations. For the solution of this problem a lot of information is provided by theories aimed at revealing the motives of hedge deals having gained acknowledgment in the international special literature, whose short introduction in this paper is followed by the setting up of our hypothesis based on some previous Hungarian empirical research
results. According to our presumption the liquidity defi ciency and the adaptive expectations of exchange market actors has a great impact on the operation of the Hungarian grain futures market. As a consequence, information affects the grain futures trade in a cumulative way in Hungary, therefore the effi cient market hypothesis does not hold in the case of these markets. In our research we analysed the time series of the closing prices of the fodder wheat and fodder maize futures trade in years between 2001 and 2006, relying on the methods of preceding research published by the co-authors Lakner and Vizvári in 2003 examining the time series of the same produces between 1991 and 2000, with the help of linear and non-linear extrapolation. The effectiveness of the linear extrapolation has confi rmed the presumption that the futures trade can be unambiguously characterised with the adaptive expectations of market participants. The actors bide their time, validate their information in a cumulative manner by the opening and closing of their market positions alike.
Ključne riječi
futures commodity exchanges; effi cient market hypothesis; random walk; linear and nonlinear processes
Hrčak ID:
24916
URI
Datum izdavanja:
30.5.2008.
Posjeta: 1.184 *