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Price Movements and Price Discovery in Futures and Cash Markets

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Cited by:

  1. Chen, Haiqiang & Choi, Paul Moon Sub & Hong, Yongmiao, 2013. "How smooth is price discovery? Evidence from cross-listed stock trading," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 668-699.
  2. Lien, Donald, 2004. "Cointegration and the optimal hedge ratio: the general case," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(5), pages 654-658, December.
  3. K. Chau & S. Wong & C. Yiu, 2007. "Housing Quality in the Forward Contracts Market," The Journal of Real Estate Finance and Economics, Springer, vol. 34(3), pages 313-325, April.
  4. Zapata, T. Randall Fortenbery & Armstrong, Delroy, 2005. "Price Discovery in the World Sugar Futures and Cash Markets: Implications for the Domincan Republic," Staff Paper Series 469, University of Wisconsin, Agricultural and Applied Economics.
  5. Cifarelli, Giulio & Paladino, Giovanna, 2010. "Oil price dynamics and speculation: A multivariate financial approach," Energy Economics, Elsevier, vol. 32(2), pages 363-372, March.
  6. Dergiades, Theologos & Madlener, Reinhard & Christofidou, Georgia, 2018. "The nexus between natural gas spot and futures prices at NYMEX: Do weather shocks and non-linear causality in low frequencies matter?," The Journal of Economic Asymmetries, Elsevier, vol. 18(C), pages 1-1.
  7. Narayan, Paresh Kumar & Narayan, Seema & Sharma, Susan Sunila, 2013. "An analysis of commodity markets: What gain for investors?," Journal of Banking & Finance, Elsevier, vol. 37(10), pages 3878-3889.
  8. Svanidze, Miranda & Götz, Linde, 2019. "Determinants of spatial market efficiency of grain markets in Russia," Food Policy, Elsevier, vol. 89(C).
  9. Zhang, Dan & Farnoosh, Arash & Lantz, Frédéric, 2022. "Does something change in the oil market with the COVID-19 crisis?," International Economics, Elsevier, vol. 169(C), pages 252-268.
  10. Isabel Figuerola‐Ferretti & Alejandro Rodríguez & Eduardo Schwartz, 2021. "Oil price analysts' forecasts," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(9), pages 1351-1374, September.
  11. Vollmer, Teresa & Von Cramon-Taubadel, Stephan, 2017. "Price discovery in the European wheat market," 2017 International Congress, August 28-September 1, 2017, Parma, Italy 261135, European Association of Agricultural Economists.
  12. Mihaela Nicolau, 2012. "Do Spot Prices Move towards Futures Prices? A study on Crude Oil Market," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 5(5), pages 166-176, October.
  13. Shernaz Bodhanwala & Harsh Purohit & Nidhi Choudhary, 2020. "The Causal Dynamics in Indian Agriculture Commodity Prices and Macro-Economic Variables in the Presence of a Structural Break," Global Business Review, International Management Institute, vol. 21(1), pages 241-261, February.
  14. Xu, Ke & Stewart, Kenneth G. & Cao, Zeyang, 2022. "Fractional cointegration and price discovery in Canadian commodities," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
  15. 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.
  16. Nidhi Choudhary & Girish K. Nair & Harsh Purohit, 2015. "Volatility In Copper Prices In India," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 10(02), pages 1-26, December.
  17. Figuerola-Ferretti, Isabel & Gonzalo, Jesús, 2010. "Modelling and measuring price discovery in commodity markets," Journal of Econometrics, Elsevier, vol. 158(1), pages 95-107, September.
  18. Bohl, Martin T. & Siklos, Pierre L. & Stefan, Martin & Wellenreuther, Claudia, 2020. "Price discovery in agricultural commodity markets: Do speculators contribute?," Journal of Commodity Markets, Elsevier, vol. 18(C).
  19. Zhuo Chen & Bo Yan, 2022. "The impact of trade policy on soybean futures in China," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 43(4), pages 1152-1163, June.
  20. Mizrach, Bruce & Otsubo, Yoichi, 2014. "The market microstructure of the European climate exchange," Journal of Banking & Finance, Elsevier, vol. 39(C), pages 107-116.
  21. Dolatabadi, Sepideh & Nielsen, Morten Ørregaard & Xu, Ke, 2016. "A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 623-639.
  22. Asche, Frank & Misund, Bard & Oglend, Atle, 2015. "The Spot-Forward Relationship in the Atlantic Salmon Market," UiS Working Papers in Economics and Finance 2015/16, University of Stavanger.
  23. Manuel A. Hernandez & Raul Ibarra & Danilo R. Trupkin, 2014. "How far do shocks move across borders? Examining volatility transmission in major agricultural futures markets," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 41(2), pages 301-325.
  24. Li, Wei-Xuan & Chen, Clara Chia-Sheng & Nguyen, James, 2022. "Which market dominates the price discovery in currency futures? The case of the Chicago Mercantile Exchange and the Intercontinental Exchange," Global Finance Journal, Elsevier, vol. 52(C).
  25. Lannoo, Karel & Thomadakis, Apostolos, 2020. "Derivatives in Sustainable Finance," ECMI Papers 29791, Centre for European Policy Studies.
  26. Noussair, C.N. & Tucker, S. & Xu, Yilong, 2014. "A Future Market Reduces Bubbles but Allows Greater Profit for More Sophisticated Traders," Other publications TiSEM 43ded173-9eee-48a4-8a15-6, Tilburg University, School of Economics and Management.
  27. Yang, Chen & Lv, Fei & Fang, Libing & Shang, Xingxing, 2020. "The pricing efficiency of crude oil futures in the Shanghai International Exchange," Finance Research Letters, Elsevier, vol. 36(C).
  28. Morana, Claudio, 2013. "Oil price dynamics, macro-finance interactions and the role of financial speculation," Journal of Banking & Finance, Elsevier, vol. 37(1), pages 206-226.
  29. Scott, Ayesha & Schoen, Tilman & Fernandez-Perez, Adrian, 2020. "The Predictive Power of NZX Dairy Futures," 2020 Conference (64th), February 12-14, 2020, Perth, Western Australia 305230, Australian Agricultural and Resource Economics Society.
  30. Xiaojie Xu, 2019. "Price dynamics in corn cash and futures markets: cointegration, causality, and forecasting through a rolling window approach," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 33(2), pages 155-181, June.
  31. Noussair, Charles N. & Tucker, Steven & Xu, Yilong, 2016. "Futures markets, cognitive ability, and mispricing in experimental asset markets," Journal of Economic Behavior & Organization, Elsevier, vol. 130(C), pages 166-179.
  32. Jing Hao & Xiong Xiong & Feng He & Feng Ma, 2019. "Price Discovery in the Chinese Stock Index Futures Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 55(13), pages 2982-2996, October.
  33. Sarveshwar Kumar Inani, 2018. "Price Discovery and Efficiency of Indian Agricultural Commodity Futures Market: An Empirical Investigation," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 16(1), pages 129-154, March.
  34. Lin Xie & Jiahua Liao & Haiting Chen & Xuefei Yan & Xinyan Hu, 2021. "Is Futurization the Culprit for the Violent Fluctuation in China’s Apple Spot Price?," Agriculture, MDPI, vol. 11(4), pages 1-14, April.
  35. Joshua V. Rosenberg & Leah G. Traub, 2006. "Price discovery in the foreign currency futures and spot market," Staff Reports 262, Federal Reserve Bank of New York.
  36. Marc J. M. Bohmann & David Michayluk & Vinay Patel, 2019. "Price discovery in commodity derivatives: Speculation or hedging?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(9), pages 1107-1121, September.
  37. Shashi Gupta & Himanshu Choudhary & D.R. Agarwal, 2017. "Hedging Efficiency of Indian Commodity Futures," Paradigm, , vol. 21(1), pages 1-20, June.
  38. Thuraisamy, Kannan S. & Sharma, Susan Sunila & Ali Ahmed, Huson Joher, 2013. "The relationship between Asian equity and commodity futures markets," Journal of Asian Economics, Elsevier, vol. 28(C), pages 67-75.
  39. Xu, Xiaojie, 2014. "Price Discovery in U.S. Corn Cash and Futures Markets: The Role of Cash Market Selection," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota 169809, Agricultural and Applied Economics Association.
  40. Baffes, John & Ajwad, Mohamed I., 1998. "Detecting price links in the world cotton market," Policy Research Working Paper Series 1944, The World Bank.
  41. Bekiros, Stelios D. & Diks, Cees G.H., 2008. "The relationship between crude oil spot and futures prices: Cointegration, linear and nonlinear causality," Energy Economics, Elsevier, vol. 30(5), pages 2673-2685, September.
  42. Delphine Lautier & Franck Raynaud & Michel Robe, 2017. "Information Flows across the Futures Term Structure: Evidence from Crude Oil Prices," Post-Print hal-01781761, HAL.
  43. Jian Li & Jean‐Paul Chavas, 2023. "A dynamic analysis of the distribution of commodity futures and spot prices," American Journal of Agricultural Economics, John Wiley & Sons, vol. 105(1), pages 122-143, January.
  44. S. Wong & K. Chau & C. Yiu, 2007. "Volatility Transmission in the Real Estate Spot and Forward Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 35(3), pages 281-293, October.
  45. Silvério, Renan & Szklo, Alexandre, 2012. "The effect of the financial sector on the evolution of oil prices: Analysis of the contribution of the futures market to the price discovery process in the WTI spot market," Energy Economics, Elsevier, vol. 34(6), pages 1799-1808.
  46. Claudio Morana, 2013. "The Oil Price-Macroeconomy Relationship Since the Mid-1980s: A Global Perspective," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3).
  47. Revoredo-Giha, Cesar & Zuppiroli, Marco, 2013. "Commodity futures markets: are they an effective price risk management tool for the European wheat supply chain?," Bio-based and Applied Economics Journal, Italian Association of Agricultural and Applied Economics (AIEAA), vol. 2(3), pages 1-19, December.
  48. Marcelo Fernandes & Cristina M. Scherrer, 2018. "Price discovery in dual‐class shares across multiple markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(1), pages 129-155, January.
  49. Karin Niehoff, 2016. "Price Discovery in Voting and Non-Voting Stocks," Schmalenbach Business Review, Springer;Schmalenbach-Gesellschaft, vol. 17(3), pages 285-307, December.
  50. Sepideh Dolatabadi & Morten Ørregaard Nielsen & Ke Xu, 2015. "A Fractionally Cointegrated VAR Analysis of Price Discovery in Commodity Futures Markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 35(4), pages 339-356, April.
  51. Dedi, Valentina & Mandilaras, Alex, 2022. "Trader positions and the price of oil in the futures market," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 448-460.
  52. Jan Hanousek & Libor Nemecek, 2002. "Mispricing and lasting arbitrage between parallel markets in the Czech Republic," The European Journal of Finance, Taylor & Francis Journals, vol. 8(1), pages 46-69.
  53. Shuxin Guo, 2021. "Do futures lead the index under stress? Evidence from the 2015 Chinese market turmoil and its aftermath," Review of Quantitative Finance and Accounting, Springer, vol. 56(1), pages 91-110, January.
  54. Tswei, Keshin, 2013. "Is transaction price more value relevant compared to accounting information? An investigation of a time-series approach," Pacific-Basin Finance Journal, Elsevier, vol. 21(1), pages 1062-1078.
  55. Narayan, Paresh Kumar & Sharma, Susan Sunila, 2018. "An analysis of time-varying commodity market price discovery," International Review of Financial Analysis, Elsevier, vol. 57(C), pages 122-133.
  56. Yang Hu & Yang (Greg) Hou & Les Oxley, 2019. "Spot and Futures Prices of Bitcoin: Causality, Cointegration and Price Discovery from a Time-Varying Perspective," Working Papers in Economics 19/13, University of Waikato.
  57. Pavlova, Evgenia & Cramon-Taubadel, Stephan von, 2016. "Measuring price discovery in agricultural markets," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts 235866, Agricultural and Applied Economics Association.
  58. Wang, Yudong & Wu, Chongfeng, 2013. "Are crude oil spot and futures prices cointegrated? Not always!," Economic Modelling, Elsevier, vol. 33(C), pages 641-650.
  59. Carlotta Penone & Elisa Giampietri & Samuele Trestini, 2022. "Futures–spot price transmission in EU corn markets," Agribusiness, John Wiley & Sons, Ltd., vol. 38(3), pages 679-709, July.
  60. Cifarelli, Giulio & Paladino, Giovanna, 2011. "Hedging vs. speculative pressures on commodity futures returns," MPRA Paper 28229, University Library of Munich, Germany.
  61. Ranajit Chakraborty & Rahuldeb Das, 2015. "Do the Spot and Futures Markets for Commodities in India Move Together?," International Journal of Financial Economics, Research Academy of Social Sciences, vol. 4(3), pages 150-159.
  62. Pradita Nareswari & Sigit S. Wibowo, 2020. "Global and Local Commodity Prices: A Further Look at the Indonesian Agricultural Commodities," Capital Markets Review, Malaysian Finance Association, vol. 28(1), pages 65-76.
  63. Osama Ahmed, 2021. "Assessing the Current Situation of the World Wheat Market Leadership: Using the Semi-Parametric Approach," Mathematics, MDPI, vol. 9(2), pages 1-21, January.
  64. Shao, Mingao & Hua, Yongjun, 2022. "Price discovery efficiency of China's crude oil futures: Evidence from the Shanghai crude oil futures market," Energy Economics, Elsevier, vol. 112(C).
  65. Foster, Andrew J., 1996. "Price discovery in oil markets: a time varying analysis of the 1990-1991 Gulf conflict," Energy Economics, Elsevier, vol. 18(3), pages 231-246, July.
  66. Semeyutin, Artur & Downing, Gareth, 2022. "Co-jumps in the U.S. interest rates and precious metals markets and their implications for investors," International Review of Financial Analysis, Elsevier, vol. 81(C).
  67. Maoguo Wu & Zhehao Zhu, 2018. "The Impact of Restrictive Measures on the Price Discovery Function of Stock Index Futures ¨C Evidence From CSI 500 Stock Index Futures," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 9(4), pages 117-125, October.
  68. Conghui Hu & Wei Xiong, 2013. "Are Commodity Futures Prices Barometers of the Global Economy?," NBER Working Papers 19706, National Bureau of Economic Research, Inc.
  69. Guglielmo Maria Caporale & Davide Ciferri & Alessandro Girardi, 2014. "Time-Varying Spot and Futures Oil Price Dynamics," Scottish Journal of Political Economy, Scottish Economic Society, vol. 61(1), pages 78-97, February.
  70. Dahl, Christian M. & Iglesias, Emma M., 2009. "Volatility spill-overs in commodity spot prices: New empirical results," Economic Modelling, Elsevier, vol. 26(3), pages 601-607, May.
  71. Francesco Pattarin & Riccardo Ferretti, 2004. "The Mib30 index and futures relationship: econometric analysis and implications for hedging," Applied Financial Economics, Taylor & Francis Journals, vol. 14(18), pages 1281-1289.
  72. Arunava Bandyopadhyay & Prabina Rajib, 2023. "The impact of Sino–US trade war on price discovery of soybean: A double‐edged sword?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(7), pages 858-879, July.
  73. Bierbaumer, Daniel & Rieth, Malte & Velinov, Anton, 2021. "The state-dependent trading behavior of banks in the oil futures market," Journal of Economic Behavior & Organization, Elsevier, vol. 191(C), pages 1011-1024.
  74. Awan, Obaid A., 2019. "Price discovery or noise: The role of arbitrage and speculation in explaining crude oil price behaviour," Journal of Commodity Markets, Elsevier, vol. 16(C).
  75. Felipe Avileis & Mindy Mallory, 2021. "The Impact of Brazil on Global Grain Dynamics: A Study on Cross-Market Volatility Spillovers," Papers 2104.12706, arXiv.org.
  76. 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.
  77. Ding, Haoyuan & Kim, Hyung-Gun & Park, Sung Y., 2014. "Do net positions in the futures market cause spot prices of crude oil?," Economic Modelling, Elsevier, vol. 41(C), pages 177-190.
  78. Kapar, Burcu & Olmo, Jose, 2019. "An analysis of price discovery between Bitcoin futures and spot markets," Economics Letters, Elsevier, vol. 174(C), pages 62-64.
  79. Mallika Kumar & M. M. Sulphey, 2015. "Investment Option in Gold – A Study on Price Discovery of Gold Futures in India," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 4(4), pages 231-238, November.
  80. Xu Xiaojie, 2018. "Linear and Nonlinear Causality between Corn Cash and Futures Prices," Journal of Agricultural & Food Industrial Organization, De Gruyter, vol. 16(2), pages 1-16, November.
  81. Nam, Seung Oh & Oh, SeungYoung & Kim, Hyun Kyung, 2008. "The time difference effect of a measurement unit in the lead-lag relationship analysis of Korean financial market," International Review of Financial Analysis, Elsevier, vol. 17(2), pages 259-273.
  82. Shrestha, Keshab, 2014. "Price discovery in energy markets," Energy Economics, Elsevier, vol. 45(C), pages 229-233.
  83. Shashi Gupta & Himanshu Choudhary & D. R. Agarwal, 2018. "An Empirical Analysis of Market Efficiency and Price Discovery in Indian Commodity Market," Global Business Review, International Management Institute, vol. 19(3), pages 771-789, June.
  84. Chen, Pei-Fen & Lee, Chien-Chiang & Zeng, Jhih-Hong, 2014. "The relationship between spot and futures oil prices: Do structural breaks matter?," Energy Economics, Elsevier, vol. 43(C), pages 206-217.
  85. Camilla Andersson & Mintewab Bezabih & Andrea Mannberg, 2015. "The Ethiopian Commodity Exchange and spatial price dispersion," GRI Working Papers 204, Grantham Research Institute on Climate Change and the Environment.
  86. Bhabani Sankar Rout & Nupur Moni Das & K. Chandrasekhara Rao, 2021. "Functional Effectiveness of Commodity Futures Market: A Comparative Assessment of Agricultural and Metal Commodities," Paradigm, , vol. 25(1), pages 42-60, June.
  87. Alexander, Carol & Heck, Daniel F., 2020. "Price discovery in Bitcoin: The impact of unregulated markets," Journal of Financial Stability, Elsevier, vol. 50(C).
  88. Algieri, Bernardina & Kalkuhl, Matthias, 2014. "Back to the Futures: An Assessment of Commodity Market Efficiency and Forecast Error Drivers," Discussion Papers 187159, University of Bonn, Center for Development Research (ZEF).
  89. van Huellen, Sophie, 2019. "Price discovery in commodity futures and cash markets with heterogeneous agents," Journal of International Money and Finance, Elsevier, vol. 95(C), pages 1-13.
  90. Martin T. Bohl & Alexander Pütz & Pierre L. Siklos & Christoph Sulewski, 2018. "Information Transmission under Increasing Political Tension – Evidence for the Berlin Produce Exchange 1887-1896," CQE Working Papers 7618, Center for Quantitative Economics (CQE), University of Muenster.
  91. Ziliang Yu & Jian Yang & Robert I. Webb, 2023. "Price discovery in China's crude oil futures markets: An emerging Asian benchmark?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(3), pages 297-324, March.
  92. Burcu Kapar & Jose Olmo, 2021. "Analysis of Bitcoin prices using market and sentiment variables," The World Economy, Wiley Blackwell, vol. 44(1), pages 45-63, January.
  93. Daniel Bierbaumer & Malte Rieth & Anton Velinov, 2018. "Nonlinear Intermediary Pricing in the Oil Futures Market," Discussion Papers of DIW Berlin 1722, DIW Berlin, German Institute for Economic Research.
  94. Madhusudan Karmakar & Sarveshwar Inani, 2019. "Information share and its predictability in the Indian stock market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(10), pages 1322-1343, October.
  95. Hou, Yang & Nartea, Gilbert, 2017. "Price Discovery in the Stock Index Futures Market: Evidence from the Chinese stock market crash," MPRA Paper 81995, University Library of Munich, Germany.
  96. Zhige Wu & Alex Maynard & Alfons Weersink & Getu Hailu, 2018. "Asymmetric spot‐futures price adjustments in grain markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(12), pages 1549-1564, December.
  97. Yue‐Jun Zhang & Shu‐Jiao Ma, 2021. "Exploring the dynamic price discovery, risk transfer and spillover among INE, WTI and Brent crude oil futures markets: Evidence from the high‐frequency data," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2414-2435, April.
  98. Chris Motengwe & Angel Pardo, 2016. "Major International Information Flows Across the Safex Wheat Market," South African Journal of Economics, Economic Society of South Africa, vol. 84(4), pages 636-653, December.
  99. Kapil Gupta & Balwinder Singh, 2007. "Investigating the Pricing Efficiency of Indian Equity Futures Market," Management and Labour Studies, XLRI Jamshedpur, School of Business Management & Human Resources, vol. 32(4), pages 486-512, November.
  100. Xiaojie Xu, 2018. "Causal structure among US corn futures and regional cash prices in the time and frequency domain," Journal of Applied Statistics, Taylor & Francis Journals, vol. 45(13), pages 2455-2480, October.
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  104. Chau, Frankie & Han, Chulwoo & Shi, Shimeng, 2018. "Dynamics and determinants of credit risk discovery: Evidence from CDS and stock markets," International Review of Financial Analysis, Elsevier, vol. 55(C), pages 156-169.
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  112. Yu, Hui & Ding, Yinghui & Sun, Qingru & Gao, Xiangyun & Jia, Xiaoliang & Wang, Xinya & Guo, Sui, 2021. "Multi-scale comovement of the dynamic correlations between copper futures and spot prices," Resources Policy, Elsevier, vol. 70(C).
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  119. Qiang Liu & Gaoxiu Qiao, 2017. "The evolving nature of intraday price discovery in the Chinese CSI 300 index futures market," Empirical Economics, Springer, vol. 52(4), pages 1569-1585, June.
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  121. Memon, Bilal Ahmed & Yao, Hongxing & Naveed, Hafiz Muhammad, 2022. "Examining the efficiency and herding behavior of commodity markets using multifractal detrended fluctuation analysis. Empirical evidence from energy, agriculture, and metal markets," Resources Policy, Elsevier, vol. 77(C).
  122. Liwei Jin & Xianghui Yuan & Jun Long & Xiang Li & Feng Lian, 2022. "Price discovery in the CSI 300 Index derivatives markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(7), pages 1352-1368, July.
  123. Philipp Adämmer & Martin T. Bohl, 2018. "Price discovery dynamics in European agricultural markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(5), pages 549-562, May.
  124. Ederington, Louis H. & Fernando, Chitru S. & Hoelscher, Seth A. & Lee, Thomas K. & Linn, Scott C., 2019. "Characteristics of petroleum product prices: A survey," Journal of Commodity Markets, Elsevier, vol. 14(C), pages 1-15.
  125. Hu, Yang & Hou, Yang Greg & Oxley, Les, 2020. "What role do futures markets play in Bitcoin pricing? Causality, cointegration and price discovery from a time-varying perspective?," International Review of Financial Analysis, Elsevier, vol. 72(C).
  126. Ghoddusi, Hamed, 2016. "Integration of physical and futures prices in the US natural gas market," Energy Economics, Elsevier, vol. 56(C), pages 229-238.
  127. Zhepeng Hu & Mindy Mallory & Teresa Serra & Philip Garcia, 2020. "Measuring price discovery between nearby and deferred contracts in storable and nonstorable commodity futures markets," Agricultural Economics, International Association of Agricultural Economists, vol. 51(6), pages 825-840, November.
  128. Vollmer, T. & Von Cramon-Taubadel, S., 2018. "Dynamic price discovery in the European wheat market based on the concept of partial cointegration," 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia 276031, International Association of Agricultural Economists.
  129. Ing-Haw Cheng & Wei Xiong, 2014. "Financialization of Commodity Markets," Annual Review of Financial Economics, Annual Reviews, vol. 6(1), pages 419-441, December.
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