The Informational Content of Distant-Delivery Futures Contracts
Futures markets have two main goals: price discovery and risk management. Because management decisions often have to be made on a time horizon longer than the time until expiration of the nearby futures contract, it is important to determine how well distant-delivery futures contracts are able to assist in price discovery. We focus on soybean and live cattle distant-delivery futures contracts and test for the informational value added to nearby contracts. Two tests for information value provide partially conflicting results due to the different information measures employed. If being able to predict the price trend is sufficient, then we find some information value in distantdelivery futures contracts, while if accurate point estimates of future spot prices are desired the results are negative. Surprisingly, we do not find the expected dichotomy between the storable (soybeans) and non-storable (cattle) commodities.
Volume (Year): 37 (2012)
Issue (Month): 2 (August)
|Contact details of provider:|| Web page: http://waeaonline.org/|
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.:
- Brorsen, B. Wade & Bailey, DeeVon & Richardson, James W., 1984. "Investigation Of Price Discovery And Efficiency For Cash And Futures Cotton Prices," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 9(01), July.
- Andrew McKenzie & Matthew Holt, 2002.
"Market efficiency in agricultural futures markets,"
Taylor & Francis Journals, vol. 34(12), pages 1519-1532.
- McKenzie, Andrew M. & Holt, Matthew T., 1998. "Market Efficiency In Agricultural Futures Markets," 1998 Annual meeting, August 2-5, Salt Lake City, UT 20933, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Naik, Gopal & Leuthold, Raymond M., 1988. "Cash And Futures Price Relationships For Nonstorable Commodities: An Empirical Analysis Using A General Theory," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 13(02), December.
- Hansen, Lars Peter & Hodrick, Robert J, 1980. "Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis," Journal of Political Economy, University of Chicago Press, vol. 88(5), pages 829-53, October.
- J. Frank & P. Garcia, 2009.
"Time-varying risk premium: further evidence in agricultural futures markets,"
Taylor & Francis Journals, vol. 41(6), pages 715-725.
- 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.
- Pesaran, M.H. & Timmermann, A., 1990.
"A Simple Non-Parametric Test Of Predictive Performance,"
29, California Los Angeles - Applied Econometrics.
- Pesaran, M Hashem & Timmermann, Allan, 1992. "A Simple Nonparametric Test of Predictive Performance," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(4), pages 561-65, October.
- Pesaran, M.H. & Timmermann, A., 1990. "A Simple, Non-Parametric Test Of Predictive Performance," Cambridge Working Papers in Economics 9021, Faculty of Economics, University of Cambridge.
- Alquist, Ron & Kilian, Lutz, 2007.
"What Do We Learn from the Price of Crude Oil Futures?,"
CEPR Discussion Papers
6548, C.E.P.R. Discussion Papers.
- Ron Alquist & Lutz Kilian, 2010. "What do we learn from the price of crude oil futures?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(4), pages 539-573.
- Sanders, Dwight R. & Garcia, Philip & Manfredo, Mark R., 2008. "Information Content in Deferred Futures Prices: Live Cattle and Hogs," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 33(01), April.
- Yang, Jian & Leatham, David J., 1999. "Price Discovery In Wheat Futures Markets," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 31(02), August.
- Hiroaki Suenaga & Aaron Smith, 2011. "Volatility Dynamics and Seasonality in Energy Prices: Implications for Crack-Spread Price Risk," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3), pages 27-58.
- 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.
- Vuchelen, Jef & Gutierrez, Maria-Isabel, 2005. "A direct test of the information content of the OECD growth forecasts," International Journal of Forecasting, Elsevier, vol. 21(1), pages 103-117.
- Dwight R. Sanders & Mark R. Manfredo, 2008. "Multiple horizons and information in USDA production forecasts," Agribusiness, John Wiley & Sons, Ltd., vol. 24(1), pages 55-66.
- Gray, Roger W. & Rutledge, David J.S., 1971. "The Economics of Commodity Futures Markets: A Survey," Review of Marketing and Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 39(04), December.
When requesting a correction, please mention this item's handle: RePEc:ags:jlaare:134221. 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.