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Martingale, market efficiency and commodity prices

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  • Danthine, Jean-Pierre

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  • Danthine, Jean-Pierre, 1977. "Martingale, market efficiency and commodity prices," European Economic Review, Elsevier, vol. 10(1), pages 1-17.
    • Handle: RePEc:eee:eecrev:v:10:y:1977:i:1:p:1-17
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    Cited by:

    1. Raymond Deneckere & James Peck, 2012. "Dynamic Competition With Random Demand and Costless Search: A Theory of Price Posting," Econometrica, Econometric Society, vol. 80(3), pages 1185-1247, May.
    2. Sibanjan Mishra, 2019. "Testing Martingale Hypothesis Using Variance Ratio Tests: Evidence from High-frequency Data of NCDEX Soya Bean Futures," Global Business Review, International Management Institute, vol. 20(6), pages 1407-1422, December.
    3. Chambers, Marcus J & Bailey, Roy E, 1996. "A Theory of Commodity Price Fluctuations," Journal of Political Economy, University of Chicago Press, vol. 104(5), pages 924-957, October.
    4. Liu, Shi-Miin & Thompson, Sarahelen R., 1990. "The Price Adjustment Process And Efficiency Of Grain Futures Markets Implied By Return Series Of Various Time Intervals," 1990 Annual meeting, August 5-8, Vancouver, Canada 270981, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    5. George P. Papaioannou & Christos Dikaiakos & Akylas C. Stratigakos & Panos C. Papageorgiou & Konstantinos F. Krommydas, 2019. "Testing the Efficiency of Electricity Markets Using a New Composite Measure Based on Nonlinear TS Tools," Energies, MDPI, vol. 12(4), pages 1-30, February.
    6. Kristoufek, Ladislav & Vosvrda, Miloslav, 2016. "Gold, currencies and market efficiency," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 449(C), pages 27-34.
    7. Mark W. French, 2005. "Why and when do spot prices of crude oil revert to futures price levels?," Finance and Economics Discussion Series 2005-30, Board of Governors of the Federal Reserve System (U.S.).
    8. Brorsen, B. Wade & Chavas, Jean-Paul & Grant, Warren R., 1991. "Market Structure and Spatial Price Dynamics," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 23(2), pages 65-74, December.
    9. Carter, Colin A., 1984. "An Evaluation Of Pricing Performance And Hedging Effectiveness Of The Barley Futures Market," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 9(1), pages 1-13, July.
    10. 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(1), pages 1-7, July.
    11. Hany Fahmy, 2014. "Modelling nonlinearities in commodity prices using smooth transition regression models with exogenous transition variables," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 23(4), pages 577-600, November.
    12. Refk Selmi & Aviral Kumar Tiwari & Shawkat Hammoudeh, 2018. "Efficiency or speculation? A dynamic analysis of the Bitcoin market," Economics Bulletin, AccessEcon, vol. 38(4), pages 2037-2046.
    13. 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.
    14. Thomas J. Sargent, 1979. "\\"Tobin's Q\\" and the rate of investment in general equilibrium," Staff Report 40, Federal Reserve Bank of Minneapolis.
    15. Vogelvang, E., 1981. "A quarterly econometric model for the price formation of coffee on the world market," Serie Research Memoranda 0001, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    16. B. Wade Brorsen & Charles M. Oellermann & Paul L. Farris, 1989. "The live cattle futures market and daily cash price movements," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 9(4), pages 273-282, August.
    17. Ren'e Aid & Luciano Campi & Delphine Lautier, 2015. "On the spot-futures no-arbitrage relations in commodity markets," Papers 1501.00273, arXiv.org, revised Feb 2018.
    18. Mohanty, Sunil K. & Mishra, Sibanjan, 2020. "Regulatory reform and market efficiency: The case of Indian agricultural commodity futures markets," Research in International Business and Finance, Elsevier, vol. 52(C).
    19. Kristoufek, Ladislav & Vosvrda, Miloslav, 2014. "Commodity futures and market efficiency," Energy Economics, Elsevier, vol. 42(C), pages 50-57.
    20. Jamal Bouoiyour & Refk Selmi & Olivier Hueber, 2019. "Low on Trust and High on Risks: Is Sidechain a Good Solution to Bitcoin Problems?," Working Papers hal-02348406, HAL.
    21. Paunić, Alida, 2016. "Solar Australia," MPRA Paper 71201, University Library of Munich, Germany.
    22. Paunić, Alida, 2016. "A Model of Sustainable Growth with Renewables( Wind, CS, Algae) in Africa Europe Relation," MPRA Paper 74515, University Library of Munich, Germany.
    23. Abdul Aziz Farid Saymeh, 2013. "Empirical Testing for Weak Form Hypothesis of Emerging Capital Markets: A Comparative study of Jordan’s ASE and Turkey’s BORSA IST," International Journal of Empirical Finance, Research Academy of Social Sciences, vol. 1(2), pages 20-26.
    24. Frode Brevik & Axel Kind, 2004. "What is going on in the oil market?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 18(4), pages 442-457, December.

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