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The soybean complex spread: An examination of market efficiency from the viewpoint of a production process

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Listed:
  • Robert L. Johnson
  • Carl R. Zulauf
  • Scott H. Irwin
  • Mary E. Gerlow

Abstract

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Suggested Citation

  • Robert L. Johnson & Carl R. Zulauf & Scott H. Irwin & Mary E. Gerlow, 1991. "The soybean complex spread: An examination of market efficiency from the viewpoint of a production process," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 11(1), pages 25-37, February.
    • Handle: RePEc:wly:jfutmk:v:11:y:1991:i:1:p:25-37
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    Cited by:

    1. Yang, Yao & Karali, Berna, 2022. "How far is too far for volatility transmission?," Journal of Commodity Markets, Elsevier, vol. 26(C).
    2. Baur, Robert Frederick, 1992. "Overreaction in futures markets," ISU General Staff Papers 1992010108000010973, Iowa State University, Department of Economics.
    3. Li, Minqiang, 2008. "Closed-Form Approximations for Spread Option Prices and Greeks," MPRA Paper 6994, University Library of Munich, Germany.
    4. Ziran Li & Dermot J. Hayes, 2022. "The hedging pressure hypothesis and the risk premium in the soybean reverse crush spread," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(3), pages 428-445, March.
    5. Fousekis, Panos & Tzaferi, Dimitra, 2022. "Price multifractality and informational efficiency in the futures markets of the US soybean complex," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 66, pages 68-84.
    6. Kevin Shuai Zhang & Traian Pirvu, 2021. "Pricing spread option with liquidity adjustments," Papers 2101.00223, arXiv.org.
    7. Plato, Gerald E., 2001. "The Soybean Processing Decision: Exercising A Real Option On Processing Margins," Technical Bulletins 33567, United States Department of Agriculture, Economic Research Service.
    8. Ruan, Qingsong & Cui, Hao & Fan, Liming, 2020. "China’s soybean crush spread: Nonlinear analysis based on MF-DCCA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 554(C).
    9. Zhou, Xinquan & Bagnarosa, Guillaume & Gohin, Alexandre & Pennings, Joost M.E. & Debie, Philippe, 2023. "Microstructure and high-frequency price discovery in the soybean complex," Journal of Commodity Markets, Elsevier, vol. 30(C).

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