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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- Garbade, Kenneth D & Silber, William L, 1983. "Price Movements and Price Discovery in Futures and Cash Markets," The Review of Economics and Statistics, MIT Press, vol. 65(2), pages 289-97, May.
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- 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.
- Buccola, Steven T., 1989. "Pricing Efficiency In Agricultural Markets: Issues, Methods, And Results," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 14(01), July.
- Zapata, Hector O. & Gil, Jose M., 1999. "Cointegration and causality in international agricultural economics research," Agricultural Economics: The Journal of the International Association of Agricultural Economists, International Association of Agricultural Economists, vol. 20(1), January.
- Hernandez, Manuel & Torero, Maximo, 2010. "Examining the dynamic relationship between spot and future prices of agricultural commodities," IFPRI discussion papers 988, International Food Policy Research Institute (IFPRI).
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