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Price Discovery In The Futures And Cash Market For Sugar


  • Armstrong, Delroy
  • Zapata, Hector O.
  • Fortenbery, T. Randall


Pricing function using world sugar futures (WSF) has received limited research interest. Findings indicate that WSF and cash prices for the Dominican Republic appears cointegrated with changing relationships. Previous work suggests that futures markets price the cheapest quality of commodities deliverable on contracts. Cointegration results are consistent with this argument.

Suggested Citation

  • Armstrong, Delroy & Zapata, Hector O. & Fortenbery, T. Randall, 2003. "Price Discovery In The Futures And Cash Market For Sugar," 2003 Annual Meeting, February 1-5, 2003, Mobile, Alabama 35239, Southern Agricultural Economics Association.
  • Handle: RePEc:ags:saeatm:35239

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    References listed on IDEAS

    1. David A. Bessler & Ted Covey, 1991. "Cointegration: Some results on U.S. cattle prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 11(4), pages 461-474, August.
    2. Sarahelen Thompson & Thomas J. McNeill & James S. Eales, 1990. "Expiration and delivery on the world sugar futures contract," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 10(2), pages 153-168, April.
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    1. Chang, Chia-Lin & Chen, Li-Hsueh & Hammoudeh, Shawkat & McAleer, Michael, 2012. "Asymmetric adjustments in the ethanol and grains markets," Energy Economics, Elsevier, vol. 34(6), pages 1990-2002.
    2. Sari, Ramazan & Hammoudeh, Shawkat & Chang, Chia-Lin & McAleer, Michael, 2012. "Causality between market liquidity and depth for energy and grains," Energy Economics, Elsevier, vol. 34(5), pages 1683-1692.

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