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The soybean complex spread: An examination of market efficiency from the viewpoint of a production process

Author

Listed:
  • Robert L. Johnson
  • Carl R. Zulauf
  • Scott H. Irwin
  • Mary E. Gerlow

Abstract

No abstract is available for this item.

Suggested Citation

  • Robert L. Johnson & Carl R. Zulauf & Scott H. Irwin & Mary E. Gerlow, 1991. "The soybean complex spread: An examination of market efficiency from the viewpoint of a production process," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 11(1), pages 25-37, February.
    • Handle: RePEc:wly:jfutmk:v:11:y:1991:i:1:p:25-37
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    Citations

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    Cited by:

    1. Huang, Joshua & Serra, Teresa & Garcia, Philip, 2017. "Are Futures Prices Good Price Forecasts? Nonlinearities in Efficiency and Risk Premiums in the Soybean Futures Market," 2017 Conference, April 24-25, 2017, St. Louis, Missouri 285872, NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    2. Hussein Abdoh & Michael Chitavi, 2024. "The impact of deviations from soybean product crushing estimates on return and risk," Agricultural Economics, International Association of Agricultural Economists, vol. 55(2), pages 181-199, March.
    3. Yang, Yao & Karali, Berna, 2021. "A Multivariate Quantile Analysis of Price Transmission in the Soybean Complex," 2021 Conference 316400, NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    4. Yang, Yao & Karali, Berna, 2022. "How far is too far for volatility transmission?," Journal of Commodity Markets, Elsevier, vol. 26(C).
    5. Bullock, David W. & Wilson, William W., 2019. "Managing Risk in Ethanol Processing Using Formula Pricing Contracts," 2019 Conference, April 15-16, 2019, Minneapolis, Minnesota 309622, NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    6. Baur, Robert Frederick, 1992. "Overreaction in futures markets," ISU General Staff Papers 1992010108000010973, Iowa State University, Department of Economics.
    7. Diersen, Matthew A. & Garcia, Philip, 1998. "Risk Measurement and Supply Response in the Soybean Complex," 1981-1999 Conference Archive 285723, NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    8. Cole, Christine A. & Kastens, Terry L. & Hampel, Frederick A., 1999. "A Calendar Spread Trading Simulation of Seasonal Processing Spreads," 1981-1999 Conference Archive 285759, NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    9. Abdoh, Hussein & Chitavi, Michael, 2025. "Mean reversion of the soybean crush spread: A new model and trading strategies," International Review of Economics & Finance, Elsevier, vol. 101(C).
    10. Kee, Gary D. & Kenyon, David E., 1999. "Hog Profit Margin Hedging: A Long-Term Out-of-Sample Evaluation," 1981-1999 Conference Archive 285756, NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    11. Li, Minqiang, 2008. "Closed-Form Approximations for Spread Option Prices and Greeks," MPRA Paper 6994, University Library of Munich, Germany.
    12. Ziran Li & Dermot J. Hayes, 2022. "The hedging pressure hypothesis and the risk premium in the soybean reverse crush spread," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(3), pages 428-445, March.
    13. Liu, Jianhe & Lu, Luze & Zong, Xiangyu & Xie, Baao, 2023. "Nonlinear relationships in soybean commodities Pairs trading-test by deep reinforcement learning," Finance Research Letters, Elsevier, vol. 58(PC).
    14. Panos Fousekis & Dimitra Tzaferi, 2022. "Price multifractality and informational efficiency in the futures markets of the US soybean complex," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 66, pages 68-84.
    15. Kevin Shuai Zhang & Traian Pirvu, 2021. "Pricing spread option with liquidity adjustments," Papers 2101.00223, arXiv.org.
    16. Plato, Gerald E., 2001. "The Soybean Processing Decision: Exercising A Real Option On Processing Margins," Technical Bulletins 33567, United States Department of Agriculture, Economic Research Service.
    17. Ruan, Qingsong & Cui, Hao & Fan, Liming, 2020. "China’s soybean crush spread: Nonlinear analysis based on MF-DCCA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 554(C).
    18. Zhou, Xinquan & Bagnarosa, Guillaume & Gohin, Alexandre & Pennings, Joost M.E. & Debie, Philippe, 2023. "Microstructure and high-frequency price discovery in the soybean complex," Journal of Commodity Markets, Elsevier, vol. 30(C).

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