Hedonic regression model for coffee futures: an analysis of effect of weather, exchange rate, past price and spot price

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dc.contributor Aalto University en
dc.contributor Aalto-yliopisto fi
dc.contributor.advisor Volkman, David
dc.contributor.author Nguyen, Chau Thuy Tien
dc.date.accessioned 2017-05-11T10:20:56Z
dc.date.available 2017-05-11T10:20:56Z
dc.date.issued 2017
dc.identifier.uri https://aaltodoc.aalto.fi/handle/123456789/26107
dc.description.abstract Objectives The first objective of the thesis is determining the form of time series data that would be suitable for conducting empirical research on coffee futures. The second objective is to conduct a hedonic regression model and to test the observed data for multiple linear regression. Finally, this paper would like to understand the relative importance of economic factors affecting coffee futures price. Summary Unit root test is conducted for 228 samples of Coffee “C” Futures and the independent variables: precipitation in Brazil and in Colombia, exchange rates USD/BRL and USD/COD, spot coffee price and coffee futures price of the previous month from January 1994 to December 2012. The Augmented Dicker-Fuller test suggests the first differencing method to remove unit root in time series data. Several tests for ensuring multiple regression assumptions are performed. The input variables could be said to be valid for conducting hedonic regression model. Conclusions The hedonic regression model reveals that 96% of coffee futures price could be explained by precipitation in Brazil and in Colombia, exchange rates USD/BRL and USD/COD, spot coffee price, coffee futures price of the previous month and dummy variable shock. Only spot price is of great significance at 95% confidence, while the others are not. Spot price also has the highest coefficient, while coefficients of other independent variables are relatively low. en
dc.format.extent 37
dc.format.mimetype application/pdf en
dc.language.iso en en
dc.title Hedonic regression model for coffee futures: an analysis of effect of weather, exchange rate, past price and spot price en
dc.type G1 Kandidaatintyö fi
dc.contributor.school Kauppakorkeakoulu fi
dc.contributor.school School of Business en
dc.contributor.department Mikkelin kampus fi
dc.subject.keyword coffee futures en
dc.subject.keyword hedonic regression model en
dc.subject.keyword market efficiency en
dc.subject.keyword fundamental analysis en
dc.identifier.urn URN:NBN:fi:aalto-201705114543
dc.type.ontasot Bachelor's thesis en
dc.type.ontasot Kandidaatintyö fi
dc.programme (Mikkeli) Bachelor’s Program in International Business en


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