Information Demand and Agriculture Commodity Prices
AbstractThis paper investigates the effect of information flow on corn futures price variability for the period January 2004 -July 2011. The theoretical framework is the Mixture Distribution Hypothesis, that posits a joint dependence of return volatility and information. The main contribution of this article is that we use two different proxy for the observed component of information flow that allow to separate the effect of supply (News) and demand (Internet Search Volume) of information. Empirical estimates highlight that: i) results support the MDH since observed volatility persistence appears to be related to the information flow; ii) variation in information demand has a significant effect on volatility of futures corn returns even controlling for variation in information supply and such result can be interpreted in light of behavioural finance.
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Bibliographic InfoPaper provided by International European Forum on Innovation and System Dynamics in Food Networks in its series 2012 International European Forum, February 13-17, 2012, Innsbruck-Igls, Austria with number 144973.
Date of creation: Sep 2012
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Web page: http://www.fooddynamics.org/
commodity prices; information; futures markets; Mixture Distribution Hypothesis; egarch; Agribusiness; Agricultural Finance; Demand and Price Analysis; Food Consumption/Nutrition/Food Safety; C32; G13; G14; Q11;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- Q11 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Aggregate Supply and Demand Analysis; Prices
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