IDEAS home Printed from https://ideas.repec.org/a/ags/ajaeau/22381.html
   My bibliography  Save this article

Price Arbitrage Between Queensland Cattle Auctions

Author

Listed:
  • Williams, Christine H.
  • Bewley, Ronald A.

Abstract

In a competitive market with free information flows, spatial arbitrage will ensure that average prices at geographically separate markets will move in unison. The speed of adjustment is related to information flows between markets; if adjustment lags exist, there may be opportunities for arbitragers to gain. The transmission of price information is modelled using Johansen's procedure and the existence of long-run arbitrage opportunities is investigated. An innovation analysis is used to examine the varying responses to changes in prices at spatially separate markets.

Suggested Citation

  • Williams, Christine H. & Bewley, Ronald A., 1993. "Price Arbitrage Between Queensland Cattle Auctions," Australian Journal of Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 37(1), pages 1-23, April.
    • Handle: RePEc:ags:ajaeau:22381
    DOI: 10.22004/ag.econ.22381
    as

    Download full text from publisher

    File URL: https://ageconsearch.umn.edu/record/22381/files/37010033.pdf
    Download Restriction: no
    File URL: https://libkey.io/10.22004/ag.econ.22381?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 106-135.
    2. Bewley, Ronald & Parry, Thomas, 1991. "Predicting the Monthly and Annual Current Account Balance from Provisional Data," The Economic Record, The Economic Society of Australia, vol. 67(199), pages 317-330, December.
    3. Bailey, DeeVon & Brorsen, B. Wade, 1985. "Dynamics Of Regional Fed Cattle Prices," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 10(1), pages 1-8, July.
    4. Phillips, P C B, 1991. "Optimal Inference in Cointegrated Systems," Econometrica, Econometric Society, vol. 59(2), pages 283-306, March.
    5. Schroeder, Ted C. & Goodwin, Barry K., 1990. "Regional Fed Cattle Price Dynamics," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 15(1), pages 1-12, July.
    6. Barry K. Goodwin & Ted C. Schroeder, 1991. "Cointegration Tests and Spatial Price Linkages in Regional Cattle Markets," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 73(2), pages 452-464.
    7. Richard J. Sexton & Catherine L. Kling & Hoy F. Carman, 1991. "Market Integration, Efficiency of Arbitrage, and Imperfect Competition: Methodology and Application to U.S. Celery," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 73(3), pages 568-580.
    8. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
    9. Spreen, Thomas H. & Shonkwiler, John Scott, 1981. "Causal Relationships In The Fed Cattle Market," Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, vol. 13(1), pages 1-5, July.
    10. Babula, Ronald A. & Bessler, David A., 1990. "The Corn-Egg Price Transmission Mechanism," Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, vol. 22(2), pages 1-8, December.
    11. Phillips, Shauna & Bewley, Ronald A., 1991. "The Effects Of Flexible Exchange Rates On Australian Wool Prices," Australian Journal of Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 35(1), pages 1-28, April.
    12. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
    13. Garbade, Kenneth D & Silber, William L, 1979. "Dominant and Satellite Markets: A Study of Dually-Traded Securities," The Review of Economics and Statistics, MIT Press, vol. 61(3), pages 455-460, August.
    14. Banerjee, Anindya, et al, 1986. "Exploring Equilibrium Relationships in Econometrics through Static Models: Some Monte Carlo Evidence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(3), pages 253-277, August.
    15. Granger, C. W. J., 1981. "Some properties of time series data and their use in econometric model specification," Journal of Econometrics, Elsevier, vol. 16(1), pages 121-130, May.
    16. Martin Ravallion, 1986. "Testing Market Integration," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 68(1), pages 102-109.
    17. David A. Bessler, 1984. "An Analysis of Dynamic Economic Relationships: An Application to the U.S. Hog Market," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 32(1), pages 109-124, March.
    18. Merle D. Faminow & Bruce L. Benson, 1990. "Integration of Spatial Markets," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 72(1), pages 49-62.
    19. Nerlove, Marc & Grether, David M. & Carvalho, José L., 1979. "Analysis of Economic Time Series," Elsevier Monographs, Elsevier, edition 1, number 9780125157506 edited by Shell, Karl.
    20. David A. Bessler & Jon A. Brandt, 1982. "Causality Tests in Livestock Markets," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 64(1), pages 140-144.
    21. John M. Marsh, 1985. "Monthly Price Premiums and Discounts between Steer Calves and Yearlings," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 67(2), pages 307-314.
    22. Shauna Phillips & Ronald A. Bewley, 1991. "The Effects Of Flexible Exchange Rates On Australian Wool Prices," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 35(1), pages 49-76, April.
    23. Ronald Bewley & Thomas Parry, 1991. "Predicting the Monthly and Annual Current Account Balance from Provisional Data," The Economic Record, The Economic Society of Australia, vol. 67(4), pages 317-330, December.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Luis Emilio Morales & Nam Hoang & Eric Stuen, 2017. "Spatial price premium transmission for Meat Standards Australia-graded cattle: the vulnerability of price premiums to outside shocks," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 61(4), pages 590-609, October.
    2. Ana María Iregui & Jesús Otero, 2013. "A Spatiotemporal Analysis of Agricultural Prices: An Application to Colombian Data," Agribusiness, John Wiley & Sons, Ltd., vol. 29(4), pages 497-508, September.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Param Silvapulle & Sisira Jayasuriya, 1994. "Testing For Philippines Rice Market Integration: A Multiple Cointegration Approach," Journal of Agricultural Economics, Wiley Blackwell, vol. 45(3), pages 369-380, September.
    2. John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots," NBER Chapters, in: NBER Macroeconomics Annual 1991, Volume 6, pages 141-220, National Bureau of Economic Research, Inc.
    3. Bingham, Matthew F. & Prestemon, Jeffrey P. & MacNair, Douglas J. & Abt, Robert C. & Bingham, Matthew F., 2003. "Market structure in U. S. southern pine roundwood," Journal of Forest Economics, Elsevier, vol. 9(2), pages 97-117.
    4. Jyotish Prakash Basu, 2010. "Efficiency in Wholesale, Retail and Village Markets," Journal of South Asian Development, , vol. 5(1), pages 85-111, April.
    5. Ericsson, Neil R., 1992. "Cointegration, exogeneity, and policy analysis: An overview," Journal of Policy Modeling, Elsevier, vol. 14(3), pages 251-280, June.
    6. Kesavan, T. & Aradhyula, Satheesh V. & Johnson, Stanley R., 1992. "Dynamics And Price Volatility In Farm-Retail Livestock Price Relationships," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 17(2), pages 1-14, December.
    7. Österholm, Pär, 2003. "Testing for Cointegration in Misspecified Systems –A Monte Carlo Study of Size Distortions," Working Paper Series 2003:21, Uppsala University, Department of Economics.
    8. Baker, Mindy Lyn, 2009. "Three essays concerning agriculture and energy," ISU General Staff Papers 200901010800001849, Iowa State University, Department of Economics.
    9. Norman J. Morin, 2006. "Likelihood ratio tests on cointegrating vectors, disequilibrium adjustment vectors, and their orthogonal complements," Finance and Economics Discussion Series 2006-21, Board of Governors of the Federal Reserve System (U.S.).
    10. Florine Livat, 2007. "Mesure des interactions de prix : une analyse des modalités de substitution parmi sept vins de Bordeaux," Économie et Prévision, Programme National Persée, vol. 180(4), pages 127-145.
    11. Tleubayev, Alisher & Jamali Jaghdani, Tinoush & Götz, Linde & Svanidze, Miranda, 2021. "The relationship between trade policies and macroeconomic adjustments in the Russian cheese market integration," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 22(3), pages 44-68.
    12. Ankamah-Yeboah, Isaac, 2012. "Spatial Price Transmission in the Regional Maize Markets in Ghana," MPRA Paper 49720, University Library of Munich, Germany.
    13. Pendell, Dustin L. & Schroeder, Ted C., 2006. "Impact of Mandatory Price Reporting on Fed Cattle Market Integration," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 31(3), pages 1-12, December.
    14. Alisher Tleubayev & Tinoush Jamali Jaghdani & Linde Gotz & Miranda Svanidze, 2021. "The relationship between trade policies and macroeconomic adjustments in the Russian cheese market integration," Journal of New Economy, Ural State University of Economics, vol. 22(3), pages 44-68, October.
    15. Biqing Cai & Jiti Gao & Dag Tjøstheim, 2017. "A New Class of Bivariate Threshold Cointegration Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(2), pages 288-305, April.
    16. VanTassell, Larry W. & Bessler, David A., 1988. "Dynamic Price Adjustments Between Commercial and Purebred Cattle Markets," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 20(2), pages 137-144, December.
    17. Sahito, Jam Ghulam Murtaza, 2015. "Market integration of wheat in Pakistan," Discussion Papers 72, Justus Liebig University Giessen, Center for international Development and Environmental Research (ZEU).
    18. Campos, Julia & Ericsson, Neil R. & Hendry, David F., 1996. "Cointegration tests in the presence of structural breaks," Journal of Econometrics, Elsevier, vol. 70(1), pages 187-220, January.
    19. Norah Al-Ballaa, 2005. "Test for cointegration based on two-stage least squares," Journal of Applied Statistics, Taylor & Francis Journals, vol. 32(7), pages 707-713.
    20. Kleibergen, Frank & Paap, Richard, 2002. "Priors, posteriors and bayes factors for a Bayesian analysis of cointegration," Journal of Econometrics, Elsevier, vol. 111(2), pages 223-249, December.

    More about this item

    Keywords

    Marketing;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ags:ajaeau:22381. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: AgEcon Search (email available below). General contact details of provider: https://edirc.repec.org/data/aaresea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.