Abstract
In this paper, we focus on the market efficiency of four major agricultural commodities in Bulgaria during the period of 1994–1998. We apply Johansen's non-cointegration test to detect a long-run relationship between futures market price and local cash price and the likelihood ratio to detect the ability of futures price to serve as a reliable predictor of the relevant spot price. Our results suggest such long-run equilibrium relationships only in the case of maize and marginally of cattle and not in the cases of wheat and hogs. These findings imply that the extreme policy interventions undertaken by the Bulgarian government in the local agricultural markets, during transition, coupled with the slow and reluctant formation of structural policies, affected the corresponding markets' functioning, resulting in a lack of market integration between international and local markets.
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