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An Evaluation Of Pricing Performance And Hedging Effectiveness Of The Barley Futures Market

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  • Carter, Colin A.

Abstract

This paper investigates the pricing efficiency and hedging effectiveness of the Winnipeg barley futures market, using the Chicago corn futures market as a norm. Several tests of pricing efficiency were conducted and the stability of the basis was studied. The barley futures market operates in a heavily regulated economic environment and this is shown to impact on both price behavior and hedging opportunities.

Suggested Citation

  • Carter, Colin A., 1984. "An Evaluation Of Pricing Performance And Hedging Effectiveness Of The Barley Futures Market," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 9(1), pages 1-13, July.
    • Handle: RePEc:ags:wjagec:32364
    DOI: 10.22004/ag.econ.32364
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    References listed on IDEAS

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    2. 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.
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    5. Larry Martin & Philip Garcia, 1981. "The Price-Forecasting Performance of Futures Markets for Live Cattle and Hogs: A Disaggregated Analysis," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 63(2), pages 209-215.
    6. Danthine, Jean-Pierre, 1977. "Martingale, market efficiency and commodity prices," European Economic Review, Elsevier, vol. 10(1), pages 1-17.
    7. Tetteh A. Kofi, 1973. "A Framework for Comparing the Efficiency of Futures Markets," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 55(4_Part_1), pages 584-594.
    8. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
    9. Raymond M. Leuthold, 1974. "The Price Performance on the Futures Market of a Nonstorable Commodity: Live Beef Cattle," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 56(2), pages 271-279.
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    Citations

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    Cited by:

    1. Buccola, Steven T., 1989. "Pricing Efficiency In Agricultural Markets: Issues, Methods, And Results," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 14(1), pages 1-11, July.
    2. Revoredo-Giha, Cesar & Zuppiroli, Marco, 2013. "Commodity futures markets: are they an effective price risk management tool for the European wheat supply chain?," Bio-based and Applied Economics Journal, Italian Association of Agricultural and Applied Economics (AIEAA), vol. 2(3), pages 1-19, December.
    3. Meilke, Karl D. & Coleman, Jonathan R., 1986. "An Evaluation of the Influence of Exchange Rates on the Canadian Red Meat Sector," Working Papers 244739, University of Guelph, Department of Food, Agricultural and Resource Economics.
    4. Białkowski, Jędrzej & Bohl, Martin T. & Perera, Devmali, 2023. "Commodity futures hedge ratios: A meta-analysis," Journal of Commodity Markets, Elsevier, vol. 30(C).
    5. Blank, Steven C., 1989. "Research On Futures Markets: Issues, Approaches, And Empirical Findings," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 14(1), pages 1-14, July.
    6. Carlotta Penone & Elisa Giampietri & Samuele Trestini, 2021. "Hedging Effectiveness of Commodity Futures Contracts to Minimize Price Risk: Empirical Evidence from the Italian Field Crop Sector," Risks, MDPI, vol. 9(12), pages 1-14, December.
    7. Jędrzej Białkowski & Martin T. Bohl & Devmali Perera, 2022. "Commodity Futures Hedge Ratios: A Meta-Analysis," Working Papers in Economics 22/12, University of Canterbury, Department of Economics and Finance.
    8. Jinbo Pang & Lingfei Deng & Gangyi Wang, 2017. "An evolutionarily stable strategy and the critical point of hog futures trading entities based on replicator dynamic theory: 2006–2015 data for China’s 22 provinces," PLOS ONE, Public Library of Science, vol. 12(2), pages 1-18, February.

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    Crop Production/Industries; Marketing;

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