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Futures market efficiency in the soybean complex

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  • Rausser, Gordon C.
  • Carter, Colin A.

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Bibliographic Info

Paper provided by Department of Agricultural & Resource Economics, UC Berkeley in its series Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series with number qt7d48x9qc.

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Date of creation: 01 Mar 1982
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Handle: RePEc:cdl:agrebk:qt7d48x9qc

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Related research

Keywords: future trading; futures market; soybeans; Social and Behavioral Sciences;

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References

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  1. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
  2. Holthausen, Duncan M, 1979. "Hedging and the Competitive Firm under Price Uncertainty," American Economic Review, American Economic Association, vol. 69(5), pages 989-95, December.
  3. Smidt, Seymour, 1965. "A Test of the Serial Independence Price Changes in Soybean Futures," Food Research Institute Studies, Stanford University, Food Research Institute, issue 02.
  4. Peck, Anne E, 1976. "Futures Markets, Supply Response, and Price Stability," The Quarterly Journal of Economics, MIT Press, vol. 90(3), pages 407-23, August.
  5. Cox, Charles C, 1976. "Futures Trading and Market Information," Journal of Political Economy, University of Chicago Press, vol. 84(6), pages 1215-37, December.
  6. Zellner, Arnold & Palm, Franz, 1974. "Time series analysis and simultaneous equation econometric models," Journal of Econometrics, Elsevier, vol. 2(1), pages 17-54, May.
  7. Cargill, Thomas F & Rausser, Gordon C, 1975. "Temporal Price Behavior in Commodity Futures Markets," Journal of Finance, American Finance Association, vol. 30(4), pages 1043-53, September.
  8. Leuthold, Raymond M, 1972. "Random Walk and Price Trends: The Live Cattle Futures Market," Journal of Finance, American Finance Association, vol. 27(4), pages 879-89, September.
  9. Grossman, Sanford J & Stiglitz, Joseph E, 1980. "On the Impossibility of Informationally Efficient Markets," American Economic Review, American Economic Association, vol. 70(3), pages 393-408, June.
  10. Larson, Arnold B., 1960. "Measurement of a Random Process in Futures Prices," Food Research Institute Studies, Stanford University, Food Research Institute, issue 03.
  11. 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, vol. 94(2), pages 317-28, March.
  12. Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-45, November.
  13. Danthine, Jean-Pierre, 1978. "Information, futures prices, and stabilizing speculation," Journal of Economic Theory, Elsevier, vol. 17(1), pages 79-98, February.
  14. Brinegar, Claude S., 1970. "A Statistical Analysis of Speculative Price Behavior," Food Research Institute Studies, Stanford University, Food Research Institute.
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Citations

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Cited by:
  1. Tomek, William G., 1996. "Commodity Futures Prices As Forecasts," Working Papers 127901, Cornell University, Department of Applied Economics and Management.
  2. Frank, Julieta & Garcia, Philip, 2005. "Time-Varying Risk Premium or Informational Inefficiency? Further Evidence in Agricultural Futures Markets," 2005 Conference, April 18-19, 2005, St. Louis, Missouri 19051, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  3. 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 37562, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  4. Bailey, DeeVon & Brorsen, B. Wade, 1985. "Dynamics Of Regional Fed Cattle Prices," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 10(01), July.
  5. Gordon, J. Douglas, 1985. "The Distribution of Daily Changes in Commodity Futures Prices," Technical Bulletins 156817, United States Department of Agriculture, Economic Research Service.
  6. Rausser, Gordon C. & Walraven, Nicholas, 1988. "Dynamic welfare analysis and commodity futures markets overshooting," CUDARE Working Paper Series 491, University of California at Berkeley, Department of Agricultural and Resource Economics and Policy.
  7. 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, vol. 20(01), July.
  8. Haigh, Michael S. & Holt, Matthew T., 1999. "Volatility Spillovers Between Foreign Exchange, Commodity And Freight Futures Prices: Implications For Hedging Strategies," Faculty Paper Series 23997, Texas A&M University, Department of Agricultural Economics.
  9. 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., vol. 17(3), pages 269-289.
  10. 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, vol. 39(1), pages 37-58.
  11. Blank, Steven C., 1989. "Research On Futures Markets: Issues, Approaches, And Empirical Findings," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 14(01), July.
  12. Haigh, Michael S. & Holt, Matthew T., 2002. "Combining Time-Varying And Dynamic Multi-Period Optimal Hedging Models," Working Papers 28593, University of Maryland, Department of Agricultural and Resource Economics.
  13. 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 6811, Southern Agricultural Economics Association.
  14. 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, vol. 16(02), December.
  15. Dote, Grace, 1982. "Economic Research Of Interest To Agriculture, 1979-1981," Economic Research of Interest to Agriculture 7291, University of California, Berkeley, Department of Agricultural and Resource Economics.
  16. Buccola, Steven T., 1989. "Pricing Efficiency In Agricultural Markets: Issues, Methods, And Results," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 14(01), July.
  17. Elfakhani, Said & Wionzek, Ritchie J., 1997. "Intermarket spread opportunities between Canadian and American agricultural futures," International Review of Economics & Finance, Elsevier, vol. 6(4), pages 361-377.
  18. 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., vol. 18(4), pages 407-426.

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