The distributional behavior for futures price spread changes is examined through parametric and nonparametric tests on four different commodities: corn and live cattle, and gold and T-bonds with two different sample sizes. Data are examined for selected periods, stable (1992) and unstable (1988). Remarkably different results were found over commodities, time period, and sample size. Actual spread changes for the smaller sample size of gold and T-bonds and of corn produced more normal distributions as intervals were widened from daily to weekly, while all live cattle spreads for actual changes were normally distributed. However, the larger sample size of both gold and T-bonds and the relative spread changes for both corn and live cattle did not converge to a normal distribution. The "best fit" distribution was tested nonparametrically on all daily spread samples, and the logistic distribution prevailed, which supported the results of nonnormality from parametric distributional tests.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Publisher Info
Paper provided by University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics in its series ACE OFOR Reports with number
14767.
Length: Date of creation: 1997 Date of revision: Handle: RePEc:ags:uiucao:14767
Contact details of provider: Postal: 326 Mumford Hall, MC-710, 1301 West Gregory Drive, Urbana, Illinois, 61801 Phone: (217) 333-1810 Fax: (217) 333-5538 Email: Web page: http://www.ace.uiuc.edu/ More information through EDIRC
For technical questions regarding this item, or to correct its listing, contact: (AgEcon Search).
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.: