Investigation Of Price Discovery And Efficiency For Cash And Futures Cotton Prices
AbstractThe dynamic relationship between daily cash and futures prices is investigated using time series analysis. The procedure involves causality tests between the two price series. The results show that futures price movements lead cash prices, implying that prices are discovered in the futures market.
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Bibliographic InfoArticle provided by Western Agricultural Economics Association in its journal Western Journal of Agricultural Economics.
Volume (Year): 09 (1984)
Issue (Month): 01 (July)
Demand and Price Analysis; Marketing;
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