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Price Discovery in Agricultural Markets

Author

Listed:
  • Shrestha, Keshab

    (Monash University Malaysia)

  • Subramaniam, Ravichandran

    (Monash University Malaysia)

  • Thiyagarajan, Thangarajah

    (Monash University Malaysia)

Abstract

In this study, we empirically analyze the contribution of futures markets to the price discovery process for seven agricultural commodities using the generalized information share proposed by Lien and Shrestha (2014) and component share based on the permanent-temporary decomposition proposed by Gonzalo and Granger (1995). We find that most of the price discovery takes place in the futures markets with the exception of cocoa. Our results show that futures markets play an important role in price discovery process. These results are important to academicians, practitioners, policymakers as well as business leaders.

Suggested Citation

  • Shrestha, Keshab & Subramaniam, Ravichandran & Thiyagarajan, Thangarajah, 2020. "Price Discovery in Agricultural Markets," American Business Review, Pompea College of Business, University of New Haven, vol. 23(1), pages 53-69, May.
    • Handle: RePEc:ris:ambsrv:0004
    as

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    References listed on IDEAS

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    Cited by:

    1. Shrestha, Keshab & Naysary, Babak & Philip, Sheena Sara Suresh, 2023. "Price discovery in carbon exchange traded fund markets," International Review of Financial Analysis, Elsevier, vol. 89(C).

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    More about this item

    Keywords

    Cointegration; Information Share; Price Discovery;
    All these keywords.

    JEL classification:

    • C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General

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