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Cash And Futures Price Relationships For Nonstorable Commodities: An Empirical Analysis Using A General Theory

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  • Naik, Gopal
  • Leuthold, Raymond M.
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    Abstract

    Empirical analysis examines the presence of basis risk, speculative component, and expected maturity basis component in basis relationships for nonstorable commodities. The results indicate that all three above components exist in both cattle and hog markets. The basis risk and speculative components vary across contracts. Hog markets showed seasonality, which helps explain the hog basis more accurately. Flexibility in making the marketing decision strengthens the explanation of intertemporal price relationships for both cattle and hogs beyond that previously attributed to only feed prices.

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    File URL: http://purl.umn.edu/32106
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    Bibliographic Info

    Article provided by Western Agricultural Economics Association in its journal Western Journal of Agricultural Economics.

    Volume (Year): 13 (1988)
    Issue (Month): 02 (December)
    Pages:

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    Handle: RePEc:ags:wjagec:32106

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    Web page: http://waeaonline.org/
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    Related research

    Keywords: Demand and Price Analysis; Marketing;

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    Cited by:
    1. 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.
    2. Manolis Kavussanos & Ilias Visvikis & David Menachof, 2005. "The Unbiasedness Hypothesis in the Freight Forward Market: Evidence from Cointegration Tests," Review of Derivatives Research, Springer, vol. 7(3), pages 241-266, October.

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