Price Arbitrage Between Queensland Cattle Auctions
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.
Volume (Year): 37 (1993)
Issue (Month): 01 (April)
|Contact details of provider:|| Postal: AARES Central Office Manager, Crawford School of Public Policy, ANU, Canberra ACT 0200|
Phone: 0409 032 338
Web page: http://www.aares.info/
More information through EDIRC
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.:
- Peter C.B. Phillips, 1988.
"Optimal Inference in Cointegrated Systems,"
Cowles Foundation Discussion Papers
866R, Cowles Foundation for Research in Economics, Yale University, revised Aug 1989.
- 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 455-60, August.
- Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
- 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 253-77, August.
- 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.
- 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.
- 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.
- 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(01), July.
- Engle, Robert & Granger, Clive, 2015.
"Co-integration and error correction: Representation, estimation, and testing,"
Publishing House "SINERGIA PRESS", vol. 39(3), pages 106-135.
- 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.
- 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.
- 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.
- 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.
- 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(01), April.
- Schroeder, Ted C. & Goodwin, Barry K., 1990. "Regional Fed Cattle Price Dynamics," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 15(01), July.
- 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, 03.
When requesting a correction, please mention this item's handle: RePEc:ags:ajaeau:22381. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (AgEcon Search)
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 references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link 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 profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.