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The Economics of Commodity Futures Markets: A Survey

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  • Gray, Roger W.
  • Rutledge, David J.S.
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    Abstract

    This article reviews some of the literature pertaining to futures markets. After briefly considering how the evolution of the institution of futures trading has required changing interpretations, we devote a longer section to the interplay between theory and evidence concerning intertemporal price relationships. While disputed and inconclusive interpretations persist, Working's theory of the price of storage and his revision of hedging doctrine are clear landmarks of progress in understanding these price relationships. We deal separately with hedging theory; then with the relation between futures and price variability; and finally with the stochastic attributes of futures prices.

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    Bibliographic Info

    Article provided by Australian Agricultural and Resource Economics Society in its journal Review of Marketing and Agricultural Economics.

    Volume (Year): 39 (1971)
    Issue (Month): 04 (December)
    Pages:

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    Handle: RePEc:ags:remaae:9639

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    Keywords: Agricultural Finance;

    References

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    1. Smidt, Seymour, 1965. "A Test of the Serial Independence Price Changes in Soybean Futures," Food Research Institute Studies, Stanford University, Food Research Institute, issue 02.
    2. Brand, Simon S., 1964. "The Decline in the Cotton Futures Market," Food Research Institute Studies, Stanford University, Food Research Institute, issue 03.
    3. Tomek, William G., 1971. "A Note on Historical Wheat Prices and Futures Trading," Food Research Institute Studies, Stanford University, Food Research Institute, issue 01.
    4. Stewart, Blair, 1949. "An Analysis of Speculative Trading in Grain Futures," Technical Bulletins 156265, United States Department of Agriculture, Economic Research Service.
    5. Lester G. Telser, 1958. "Futures Trading and the Storage of Cotton and Wheat," Journal of Political Economy, University of Chicago Press, vol. 66, pages 233.
    6. Howell, L. D. & Watson, Leonard J., 1938. "Relation of Spot Cotton Prices to Prices of Futures Contracts and Protection Afforded by Trading in Futures," Technical Bulletins 166018, United States Department of Agriculture, Economic Research Service.
    7. Ronald I. McKinnon, 1967. "Futures Markets, Buffer Stocks, and Income Stability for Primary Producers," Journal of Political Economy, University of Chicago Press, vol. 75, pages 844.
    8. Brinegar, Claude S., 1970. "A Statistical Analysis of Speculative Price Behavior," Food Research Institute Studies, Stanford University, Food Research Institute.
    9. Powers, Mark J, 1970. "Does Futures Trading Reduce Price Fluctuations in the Cash Markets?," American Economic Review, American Economic Association, vol. 60(3), pages 460-64, June.
    10. Stevenson, Richard A & Bear, Robert M, 1970. "Commodity Futures: Trends or Random Walks?," Journal of Finance, American Finance Association, vol. 25(1), pages 65-81, March.
    11. Gruen, Fred H.G., 1960. "The Pros and Cons of Futures Trading for Woolgrowers," Review of Marketing and Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 28(03), September.
    12. Howell, L. D., 1948. "Analysis of Hedging and Other Operations in Grain Futures," Technical Bulletins 170308, United States Department of Agriculture, Economic Research Service.
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    Cited by:
    1. Gary B. Gorton & Fumio Hayashi & K. Geert Rouwenhorst, 2013. "The Fundamentals of Commodity Futures Returns," Review of Finance, European Finance Association, vol. 17(1), pages 35-105.
    2. Kenyon, David E. & Kingsley, Steven E., 1973. "An Analysis Of Anticipatory Short Hedging Using Predicted Harvest Basis," Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, vol. 5(01), July.
    3. Runge, C. Ford, 2006. "Agricultural Economics: A Brief Intellectual History," Staff Papers 13649, University of Minnesota, Department of Applied Economics.
    4. Christine Ennew & Wyn Morgan & Tony Rayner, 1992. "Role of attitudes in the decision to use futures markets: The case of the London potato futures market," Agribusiness, John Wiley & Sons, Ltd., vol. 8(6), pages 561-573.
    5. Watson, Alistair S., 1980. "Wool In 1980," Australian Journal of Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 24(02), August.
    6. Sooy, Jeff & Branch, Ben, 0. "A Study Of The Economic Functions Of The Maine Potato Futures Market," Northeastern Journal of Agricultural and Resource Economics, Northeastern Agricultural and Resource Economics Association, vol. 9(1:).
    7. Schnake, Kristin N. & Karali, Berna & Dorfman, Jeffrey H., 2012. "The Informational Content of Distant-Delivery Futures Contracts," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 37(2), August.

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