Is The Thinly-Traded Butter Futures Contract Priced Efficiently?
AbstractAfter over eight years of trading, the Chicago Mercantile Exchange butter futures contract remains thinly traded, possibly impeding price discovery. Pricing efficiency was assessed using cointegration techniques and error correction models. Results suggest that market efficiency could not be rejected up to a two-month forecast horizon. Illiquid markets reduce hedging performance, which in turn discourage liquidity growth.
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Bibliographic InfoPaper provided by Southern Agricultural Economics Association in its series 2004 Annual Meeting, February 14-18, 2004, Tulsa, Oklahoma with number 34684.
Date of creation: 2004
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