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The Pricing Efficiency of Agricultural Futures Markets: An Analysis of Previous Research Results

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  • Garcia, Philip
  • Hudson, Michael A.
  • Waller, Mark L.

Abstract

The analysis examines quantitatively the findings of previous studies of the pricing efficiency of various agricultural markets using a logit framework. The findings provide insight into the importance of commodity characteristics, uncertainty, and testing procedures used on the results of past research of pricing efficiency. The study also identifies several areas for further research.

Suggested Citation

  • Garcia, Philip & Hudson, Michael A. & Waller, Mark L., 1988. "The Pricing Efficiency of Agricultural Futures Markets: An Analysis of Previous Research Results," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 20(1), pages 119-130, July.
  • Handle: RePEc:cup:jagaec:v:20:y:1988:i:01:p:119-130_02
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    References listed on IDEAS

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    1. David E. A. Giles & Barry A. Goss, 1981. "Futures Prices As Forecasts Of Commodity Spot Prices: Live Cattle And Wool," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 25(1), pages 1-13, April.
    2. Darwin M. Pluhar & Carl E. Shafer & Thomas L. Sporleder, 1985. "The systematic downward bias in live cattle futures: A further evaluation," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 5(1), pages 11-20, March.
    3. Gordon, J. Douglas, 1985. "The Distribution of Daily Changes in Commodity Futures Prices," Technical Bulletins 156817, United States Department of Agriculture, Economic Research Service.
    4. Scott H. Irwin & B. Wade Brorsen, 1985. "Public futures funds," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 5(3), pages 463-485, September.
    5. Stein, Jerome L, 1981. "Speculative Price: Economic Welfare and the Idiot of Chance," The Review of Economics and Statistics, MIT Press, vol. 63(2), pages 223-232, May.
    6. Giorgio Canarella & Stephen K. Pollard, 1985. "Efficiency of commodity futures: A vector autoregression analysis," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 5(1), pages 57-76, March.
    7. Brinegar, Claude S., 1970. "A Statistical Analysis of Speculative Price Behavior," Food Research Institute Studies, Stanford University, Food Research Institute, vol. 9(Supplemen), pages 1-72.
    8. Billy P. Helms & Fred R. Kaen & Robert E. Rosenman, 1984. "Memory in commodity futures contracts," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 4(4), pages 559-567, December.
    9. Rausser, Gordon C & Carter, Colin, 1983. "Futures Market Efficiency in the Soybean Complex," The Review of Economics and Statistics, MIT Press, vol. 65(3), pages 469-478, August.
    10. Cargill, Thomas F & Rausser, Gordon C, 1975. "Temporal Price Behavior in Commodity Futures Markets," Journal of Finance, American Finance Association, vol. 30(4), pages 1043-1053, September.
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    Citations

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    Cited by:

    1. Kastens, Terry L. & Schroeder, Ted C., 1993. "Expectations of Cattle Feeding Investors in Feeder Cattle Placements," Staff Papers 118159, Kansas State University, Department of Agricultural Economics.
    2. Carl R. Zulauf & Scott H. Irwin, 1998. "Market Efficiency and Marketing to Enhance Income of Crop Producers," Review of Agricultural Economics, Agricultural and Applied Economics Association, vol. 20(2), pages 308-331.
    3. 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(1), pages 1-12, April.
    4. Roger A. Hinson & Steven C. Turner & John R. Brooker, 1995. "Transactions methods among US wholesale nurseries," Agribusiness, John Wiley & Sons, Ltd., vol. 11(2), pages 147-154.
    5. Curtis, Charles E., Jr. & Carriker, Gordon L., 1988. "Estimating Implied Volatility Directly from "Nearest-to-the-Money" Commodity Option Premiums," Working Papers 116875, Clemson University, Department of Agricultural and Applied Economics.
    6. Nivens, Heather D. & Kastens, Terry L. & Dhuyvetter, Kevin C., 2000. "Using Satellite Imagery In Kansas Crop Yield And Net Farm Income Forecasts," 2000 Conference, April 17-18 2000, Chicago, Illinois 18943, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    7. Renyuan Shao & Brian Roe, 2003. "The design and pricing of fixed‐ and moving‐window contracts: An application of Asian‐Basket option pricing methods to the hog‐finishing sector," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 23(11), pages 1047-1073, November.
    8. Kastens, Terry L. & Jones, Rodney D. & Schroeder, Ted C., 1998. "Futures-Based Price Forecasts For Agricultural Producers And Businesses," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 23(1), pages 1-14, July.
    9. Tinker, Jonathan N. & Gerlow, Mary E. & Irwin, Scott H. & Zulauf, Carl R., 1989. "Frocasting Soybean Complex Prices: Univariate and Multivariate Time Series Models," 1989 Annual Meeting, July 30-August 2, Baton Rouge, Louisiana 270488, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    10. Schroeder, Ted C. & Parcell, Joseph L. & Kastens, Terry L. & Dhuyvetter, Kevin C., 1998. "Perceptions Of Marketing Strategies: Producers Versus Extension Economists," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 23(1), pages 1-15, July.
    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(1), pages 1-14, July.
    12. 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.
    13. Manfredo, Mark R. & Sanders, Dwight R., 2004. "Forecast Encompassing And Futures Market Efficiency: The Case Of Milk Futures," 2004 Annual meeting, August 1-4, Denver, CO 20267, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).

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