Liquidity Components and Informational Efficiency in the US Agricultural Futures Markets

Abstract

The objective of this work is to assess the relationship between informational efficiency and liquidity in the US agricultural futures markets. To this end, it employs daily data from January 2018 to February 2025, the Generalized Spectral approach for testing the martingale difference hypothesis, and statistics suitable for analyzing complex (non-linear and non-monotonic) associations. According to the empirical results, the US agricultural futures markets have been largely efficient. The COVID-19 pandemic and the war in Ukraine had a negative (although short-lived) impact on the performance certain markets. The informational efficiency appeared to maintain a positive (negative) relationship with the permanent (temporary) component of market liquidity. There is some evidence of informational efficiency synchronization.