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Futures Market Efficiency in the Soybean Complex

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  • Rausser, Gordon C
  • Carter, Colin

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Bibliographic Info

Article provided by MIT Press in its journal Review of Economics & Statistics.

Volume (Year): 65 (1983)
Issue (Month): 3 (August)
Pages: 469-78

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Handle: RePEc:tpr:restat:v:65:y:1983:i:3:p:469-78

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  1. Zellner, Arnold & Palm, Franz, 1974. "Time series analysis and simultaneous equation econometric models," Journal of Econometrics, Elsevier, Elsevier, vol. 2(1), pages 17-54, May.
  2. Cox, Charles C, 1976. "Futures Trading and Market Information," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 84(6), pages 1215-37, December.
  3. Peck, Anne E, 1976. "Futures Markets, Supply Response, and Price Stability," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 90(3), pages 407-23, August.
  4. Larson, Arnold B., 1960. "Measurement of a Random Process in Futures Prices," Food Research Institute Studies, Stanford University, Food Research Institute, Stanford University, Food Research Institute, issue 03.
  5. Danthine, Jean-Pierre, 1978. "Information, futures prices, and stabilizing speculation," Journal of Economic Theory, Elsevier, Elsevier, vol. 17(1), pages 79-98, February.
  6. Feder, Gershon & Just, Richard E & Schmitz, Andrew, 1980. "Futures Markets and the Theory of the Firm under Price Uncertainty," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 94(2), pages 317-28, March.
  7. Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, Econometric Society, vol. 46(6), pages 1429-45, November.
  8. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, American Finance Association, vol. 25(2), pages 383-417, May.
  9. Brinegar, Claude S., 1970. "A Statistical Analysis of Speculative Price Behavior," Food Research Institute Studies, Stanford University, Food Research Institute, Stanford University, Food Research Institute.
  10. Leuthold, Raymond M, 1972. "Random Walk and Price Trends: The Live Cattle Futures Market," Journal of Finance, American Finance Association, American Finance Association, vol. 27(4), pages 879-89, September.
  11. Sanford J Grossman & Joseph E Stiglitz, 1997. "On the Impossibility of Informationally Efficient Markets," Levine's Working Paper Archive 1908, David K. Levine.
  12. Turnovsky, Stephen J., 1979. "Futures markets, private storage, and price stabilization," Journal of Public Economics, Elsevier, Elsevier, vol. 12(3), pages 301-327, December.
  13. Cargill, Thomas F & Rausser, Gordon C, 1975. "Temporal Price Behavior in Commodity Futures Markets," Journal of Finance, American Finance Association, American Finance Association, vol. 30(4), pages 1043-53, September.
  14. Smidt, Seymour, 1965. "A Test of the Serial Independence Price Changes in Soybean Futures," Food Research Institute Studies, Stanford University, Food Research Institute, Stanford University, Food Research Institute, issue 02.
  15. Holthausen, Duncan M, 1979. "Hedging and the Competitive Firm under Price Uncertainty," American Economic Review, American Economic Association, American Economic Association, vol. 69(5), pages 989-95, December.
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Cited by:
  1. Dote, Grace, 1982. "Economic Research Of Interest To Agriculture, 1979-1981," Economic Research of Interest to Agriculture, University of California, Berkeley, Department of Agricultural and Resource Economics 7291, University of California, Berkeley, Department of Agricultural and Resource Economics.
  2. Rausser, Gordon C. & Walraven, Nicholas, 1988. "Dynamic welfare analysis and commodity futures markets overshooting," CUDARE Working Paper Series, University of California at Berkeley, Department of Agricultural and Resource Economics and Policy 491, University of California at Berkeley, Department of Agricultural and Resource Economics and Policy.
  3. Michael S. Haigh & Matthew T. Holt, 2002. "Combining time-varying and dynamic multi-period optimal hedging models," European Review of Agricultural Economics, Foundation for the European Review of Agricultural Economics, Foundation for the European Review of Agricultural Economics, vol. 29(4), pages 471-500, December.
  4. Sanders, Dwight R. & Garcia, Philip & Manfredo, Mark R., 2007. "Information Content in Deferred Futures Prices: Live Cattle and Hogs," 2007 Conference, April 16-17, 2007, Chicago, Illinois, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management 37562, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  5. Buccola, Steven T., 1989. "Pricing Efficiency In Agricultural Markets: Issues, Methods, And Results," Western Journal of Agricultural Economics, Western Agricultural Economics Association, Western Agricultural Economics Association, vol. 14(01), July.
  6. Garcia, Philip & Hudson, Michael A. & Waller, Mark L., 1988. "The Pricing Efficiency Of Agricultural Futures Markets: An Analysis Of Previous Research Results," Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, Southern Agricultural Economics Association, vol. 20(01), July.
  7. Bailey, DeeVon & Brorsen, B. Wade, 1985. "Dynamics Of Regional Fed Cattle Prices," Western Journal of Agricultural Economics, Western Agricultural Economics Association, Western Agricultural Economics Association, vol. 10(01), July.
  8. J. Frank & P. Garcia, 2009. "Time-varying risk premium: further evidence in agricultural futures markets," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 41(6), pages 715-725.
  9. Elfakhani, Said & Wionzek, Ritchie J., 1997. "Intermarket spread opportunities between Canadian and American agricultural futures," International Review of Economics & Finance, Elsevier, Elsevier, vol. 6(4), pages 361-377.
  10. Funk, Samuel M. & Zook, James E. & Featherstone, Allen M., 2008. "Chicago Board of Trade Ethanol Contract Efficiency," 2008 Annual Meeting, February 2-6, 2008, Dallas, Texas, Southern Agricultural Economics Association 6811, Southern Agricultural Economics Association.
  11. Gordon, J. Douglas, 1985. "The Distribution of Daily Changes in Commodity Futures Prices," Technical Bulletins, United States Department of Agriculture, Economic Research Service 156817, United States Department of Agriculture, Economic Research Service.
  12. Haigh, Michael S. & Holt, Matthew T., 1999. "Volatility Spillovers Between Foreign Exchange, Commodity And Freight Futures Prices: Implications For Hedging Strategies," Faculty Paper Series, Texas A&M University, Department of Agricultural Economics 23997, Texas A&M University, Department of Agricultural Economics.
  13. Elfakhani, Said & Visiting Professor & Wionzek, Ritchie J. & Chaudhury, Mohammed, 1999. "Thin trading and mispricing profit opportunities in the Canadian commodity futures," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 39(1), pages 37-58.
  14. Blank, Steven C., 1989. "Research On Futures Markets: Issues, Approaches, And Empirical Findings," Western Journal of Agricultural Economics, Western Agricultural Economics Association, Western Agricultural Economics Association, vol. 14(01), July.
  15. Bailey, DeeVon & Brorsen, B. Wade & Richardson, James W., 1984. "Dynamic Stochastic Simulation Of Daily Cash And Futures Cotton Prices," Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, Southern Agricultural Economics Association, vol. 16(02), December.
  16. Michael S. Haigh & Matthew T. Holt, 2002. "Crack spread hedging: accounting for time-varying volatility spillovers in the energy futures markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 17(3), pages 269-289.
  17. Matthew T. Holt & Andrew M. McKenzie, 2003. "Quasi-rational and ex ante price expectations in commodity supply models: an empirical analysis of the US broiler market," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 18(4), pages 407-426.
  18. Tomek, William G., 1996. "Commodity Futures Prices As Forecasts," Working Papers, Cornell University, Department of Applied Economics and Management 127901, Cornell University, Department of Applied Economics and Management.

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