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Thin trading and mispricing profit opportunities in the Canadian commodity futures

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  • Elfakhani, Said
  • Visiting Professor
  • Wionzek, Ritchie J.
  • Chaudhury, Mohammed
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    File URL: http://www.sciencedirect.com/science/article/B6W5X-3XDJJ3G-3/2/729449071c652c5ee46b8ee3980f01c9
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    Bibliographic Info

    Article provided by Elsevier in its journal The Quarterly Review of Economics and Finance.

    Volume (Year): 39 (1999)
    Issue (Month): 1 ()
    Pages: 37-58

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    Handle: RePEc:eee:quaeco:v:39:y:1999:i:1:p:37-58

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    Web page: http://www.elsevier.com/locate/inca/620167

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    1. G. William Schwert & Paul J. Seguin, 1991. "Heteroskedasticity in Stock Returns," NBER Working Papers 2956, National Bureau of Economic Research, Inc.
    2. Bessembinder, Hendrik, et al, 1995. " Mean Reversion in Equilibrium Asset Prices: Evidence from the Futures Term Structure," Journal of Finance, American Finance Association, vol. 50(1), pages 361-75, March.
    3. Bessembinder, Hendrik & Seguin, Paul J., 1993. "Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(01), pages 21-39, March.
    4. Bessembinder, Hendrik & Chan, Kalok & Seguin, Paul J., 1996. "An empirical examination of information, differences of opinion, and trading activity," Journal of Financial Economics, Elsevier, vol. 40(1), pages 105-134, January.
    5. Bailey, Warren & Chang, K C, 1993. " Macroeconomic Influences and the Variability of the Commodity Futures Basis," Journal of Finance, American Finance Association, vol. 48(2), pages 555-73, June.
    6. Fama, Eugene F & French, Kenneth R, 1987. "Commodity Futures Prices: Some Evidence on Forecast Power, Premiums,and the Theory of Storage," The Journal of Business, University of Chicago Press, vol. 60(1), pages 55-73, January.
    7. Rausser, Gordon C. & Carter, Colin, 1981. "Futures market efficiency in the soybean complex," CUDARE Working Paper Series 139R, University of California at Berkeley, Department of Agricultural and Resource Economics and Policy.
    8. Dennis R. Capozza & Paul J. Seguin, 1995. "Expectations, Efficiency, and Euphoria in the Housing Market," NBER Working Papers 5179, National Bureau of Economic Research, Inc.
    9. Lukac, Louis P & Brorsen, B Wade, 1990. "A Comprehensive Test of Futures Market Disequilibrium," The Financial Review, Eastern Finance Association, vol. 25(4), pages 593-622, November.
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