Analyzing the performances and behaviors of forest-related markets
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Understanding the behaviors of wood related markets allows for better investment practices. The forest sector comprises the wood, the paper, the furniture, and publicly traded timber real estate investment trust (REIT), which are analyzed in this dissertation. The first essay in this dissertation deals with the market efficiency of four forest-related markets. Measuring with the notion of entropy, the informational efficiency of all markets is ranked relatively to each other. The results show that the wood market is the most efficient one. The paper and the furniture markets are ranked the second in terms of efficiency. The REIT market was the least informational efficient market. All four markets were also compared to the Treasury bill and the stock markets. The second essay in the dissertation investigates the long-term relationships among four publicly traded REITs using cointegration analysis. Both Johansen procedure and Engle Granger cointegration test indicate that the four REITs do not share the same common trends in the long run. The four companies embrace distinctive business development strategies that allow them to grow in different directions. The last essay examines the influences of 22 regional timber markets in the U.S. South on the stumpage prices in their adjacent areas. The core inspiration for this chapter comes from the importance of modeling timber prices. Using Bayesian inference instead of the frequentist inference, the parameter estimates are more useful for the stakeholders and the interpretations deliver fresh indications about the interdependency of the regional timber markets. The results reveal which regions can help predicting the future prices in their neighboring areas. The entire dissertation aims to enrich the literature on the forest-related markets and the relationships among them.