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Price Arbitrage Between Queensland Cattle Auctions

  • Williams, Christine H.
  • Bewley, Ronald A.
Registered author(s):

    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.

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    File URL: http://purl.umn.edu/22381
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    Article provided by Australian Agricultural and Resource Economics Society in its journal Australian Journal of Agricultural Economics.

    Volume (Year): 37 (1993)
    Issue (Month): 01 (April)
    Pages:

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    Handle: RePEc:ags:ajaeau:22381
    Contact details of provider: Postal: AARES Central Office Manager, Crawford School of Public Policy, ANU, Canberra ACT 0200
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    8. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
    9. Babula, Ronald A. & Bessler, David A., 1990. "The Corn-Egg Price Transmission Mechanism," Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, vol. 22(02), December.
    10. 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 317-30, December.
    11. Kling, Catherine L. & Sexton, Richard & Carman, Hoy, 1991. "Market Integration, Efficiency of Arbitrage, and Imperfect Competition: Methodology and Application to U.S. Celery," Staff General Research Papers 1609, Iowa State University, Department of Economics.
    12. 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.
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