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The Price Adjustment Process And Efficiency Of Grain Futures Markets Implied By Return Series Of Various Time Intervals

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  • Liu, Shi-Miin
  • Thompson, Sarahelen R.

Abstract

This study investigates the price adjustment process and efficiency of corn and oats futures markets using data from the 1986 contracts traded on the CBOT. Amihud-Mendelson's (1987) model, Box-Jenkins' (1970) techniques, and Black's (1986) criteria are employed. The competitive performance of speculators in grain futures markets is also examined .

Suggested Citation

  • 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).
    • Handle: RePEc:ags:aaea90:270981
    DOI: 10.22004/ag.econ.270981
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    1. Danthine, Jean-Pierre, 1977. "Martingale, market efficiency and commodity prices," European Economic Review, Elsevier, vol. 10(1), pages 1-17.
    2. 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.
    3. Roll, Richard, 1984. "A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market," Journal of Finance, American Finance Association, vol. 39(4), pages 1127-1139, September.
    4. 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.
    5. Thompson, S. & Waller, M.L., 1988. "Determinants Of Liquidity Costs In Commodity Furures Markets," Papers 172, Columbia - Center for Futures Markets.
    6. Black, Fischer, 1976. "The pricing of commodity contracts," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 167-179.
    7. Working, Holbrook, 1967. "Tests of a Theory Concerning Floor Trading on Commodity Exchanges," Food Research Institute Studies, Stanford University, Food Research Institute, vol. 7(Supplemen), pages 1-44.
    8. 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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    Cited by:

    1. Thompson, Sarahelen R. & Eales, James S. & Seibold, David, 1993. "Comparison Of Liquidity Costs Between The Kansas City And Chicago Wheat Futures Contracts," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 18(2), pages 1-13, December.

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