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A selected review of agricultural commodity futures and options markets

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  • Philip Garcia

Abstract

This paper provides a selected review of the research literature on commodity futures and options markets, focusing primarily on empirical studies. The topics featured include the development of intertemporal price relationships, hedging and basis relationships, price behaviour, and discussion of the markets' institutional issues. In each case the recent contributions are recognised. Using this base of information as background, we focus on identifying and motivating future research challenges for agricultural commodity futures and options markets. Copyright 2004, Oxford University Press.

Suggested Citation

  • Philip Garcia, 2004. "A selected review of agricultural commodity futures and options markets," European Review of Agricultural Economics, Foundation for the European Review of Agricultural Economics, vol. 31(3), pages 235-272, September.
  • Handle: RePEc:oup:erevae:v:31:y:2004:i:3:p:235-272
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    Citations

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    Cited by:

    1. Pedersen, Michael, 2015. "Reallocation of Price Risk among Cooperative Members," 2015 Conference, August 9-14, 2015, Milan, Italy 212616, International Association of Agricultural Economists.
    2. Sanders, Dwight R. & Garcia, Philip & Manfredo, Mark R., 2007. "Information Content in Deferred Futures Prices: Live Cattle and Hogs," 2007 Conference, April 16-17, 2007, Chicago, Illinois 37562, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    3. Pedersen, Michael Friis, 2012. "Reallocation of price risk among members," 123rd Seminar, February 23-24, 2012, Dublin, Ireland 122529, European Association of Agricultural Economists.
    4. Anastassiadis Friederike & Feil Jan-Henning & Musshoff Oliver & Schilling Philipp, 2014. "Analysing Farmers’ Use of Price Hedging Instruments: An Experimental Approach," Journal of Agricultural & Food Industrial Organization, De Gruyter, vol. 12(1), pages 1-12, January.
    5. repec:bla:jageco:v:68:y:2017:i:3:p:822-838 is not listed on IDEAS
    6. Rashid, Shahidur, 2015. "Commodity Exchanges and Market Development: What Have we Learned?," 2015 Conference, August 9-14, 2015, Milan, Italy 212488, International Association of Agricultural Economists.
    7. Franken, Jason R.V. & Garcia, Philip & Irwin, Scott H., 2006. "Do Interest Rates Explain Disaggregate Commodity Price Growth?," 2006 Annual meeting, July 23-26, Long Beach, CA 21319, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    8. Scott H. Irwin & Dwight R. Sanders, 2011. "Index Funds, Financialization, and Commodity Futures Markets," Applied Economic Perspectives and Policy, Agricultural and Applied Economics Association, vol. 33(1), pages 1-31.
    9. Mattos, Fabio & Garcia, Philip & Nelson, Carl, 2008. "Relaxing standard hedging assumptions in the presence of downside risk," The Quarterly Review of Economics and Finance, Elsevier, vol. 48(1), pages 78-93, February.
    10. Frank, Julieta & Garcia, Philip & Irwin, Scott H., 2008. "To What Surprises Do Hog Futures Markets Respond?," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 40(01), pages 73-87, April.
    11. Karali, Berna & Dorfman, Jeffrey H. & Thurman, Walter N., 2008. "Do Inventory and Time-to-Delivery Effects Vary Across Futures Contracts? Insights from a Smoothed Bayesian Estimator," 2008 Annual Meeting, July 27-29, 2008, Orlando, Florida 6084, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    12. Strydom, D.B. & Grove, Bennie & Kruger, Y. & Willemse, B.J., 2010. "Stochastic Efficiency Analysis Of Alternative Basic Maize Marketing Strategies," 2010 AAAE Third Conference/AEASA 48th Conference, September 19-23, 2010, Cape Town, South Africa 96812, African Association of Agricultural Economists (AAAE);Agricultural Economics Association of South Africa (AEASA).
    13. Mattos, Fabio & Garcia, Philip & Pennings, Joost M.E., 2008. "Probability weighting and loss aversion in futures hedging," Journal of Financial Markets, Elsevier, vol. 11(4), pages 433-452, November.
    14. Rashid, Shahidur & Winter-Nelson, Alex & Garcia, Philip, 2010. "Purpose and potential for commodity exchanges in African economies:," IFPRI discussion papers 1035, International Food Policy Research Institute (IFPRI).
    15. Jayne, T.S. & Sturgess, Chris & Kopicki, Ron & Sitko, Nicholas, 2014. "Agricultural Commodity Exchanges and the Development of Grain Markets and Trade in Africa: A Review of Recent Experience," Food Security Collaborative Working Papers 188568, Michigan State University, Department of Agricultural, Food, and Resource Economics.
    16. Stephanie-Carolin Grosche, 2014. "What Does Granger Causality Prove? A Critical Examination of the Interpretation of Granger Causality Results on Price Effects of Index Trading in Agricultural Commodity Markets," Journal of Agricultural Economics, Wiley Blackwell, vol. 65(2), pages 279-302, June.
    17. Lucia BALDI & Massimo PERI & Daniela VANDONE, 2011. "Spot and future prices of agricultural commodities: fundamentals and speculation," Departmental Working Papers 2011-03, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
    18. repec:kap:enreec:v:68:y:2017:i:3:d:10.1007_s10640-016-0032-4 is not listed on IDEAS
    19. Baldi, Lucia & Peri, Massimo & Vandone, Daniela, 2011. "Price Discovery in Agricultural Commodities: The Shifting Relationship Between Spot and Future Prices," 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland 114237, European Association of Agricultural Economists.
    20. Gutierrez, Luciano, 2011. "Looking for Rational Bubbles in Agricultural Commodity Markets," 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland 120377, European Association of Agricultural Economists.
    21. Etienne, Xiaoli L. & Irwin, Scott H. & Garcia, Philip, 2014. "Bubbles in food commodity markets: Four decades of evidence," Journal of International Money and Finance, Elsevier, vol. 42(C), pages 129-155.

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