Price Discovery in Thinly Traded Futures Markets: How Thin is Too Thin?

Citations

Cited by:

1. Philipp Adämmer & Martin T. Bohl, 2015. "Price Discovery in European Agricultural Markets: When Do Futures Contracts Matter?," CQE Working Papers 4415, Center for Quantitative Economics (CQE), University of Muenster.
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   • Kionka, Marlene & Odening, Martin & Plogmann, Jana & Ritter, Matthias, 2020. "Measuring liquidity in agricultural land markets," FORLand Working Papers 25 (2020), Humboldt University Berlin, DFG Research Unit 2569 FORLand "Agricultural Land Markets – Efficiency and Regulation".
   • Kionka, Marlene & Odening, Martin & Plogmann, Jana & Ritter, Matthias, 2021. "Measuring Liquidity in Agricultural Land Markets," 2021 Conference, August 17-31, 2021, Virtual 315234, International Association of Agricultural Economists.
3. Tao Xiong & Miao Li, 2024. "A tale of two contracts: Was the SHFE copper futures market disrupted by the listing of INE bonded copper futures?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(2), pages 281-301, February.
4. Qingjie Zhou & Panpan Zhu & You Wu & Yinpeng Zhang, 2022. "Research on the Volatility of the Cotton Market under Different Term Structures: Perspective from Investor Attention," Sustainability, MDPI, vol. 14(21), pages 1-20, November.
5. Amrinder Singh & Tarun Kumar Soni, 2021. "Price Transmission in Cotton Futures Market: Evidence from Three Countries," JRFM, MDPI, vol. 14(9), pages 1-14, September.
6. Bohl, Martin T. & Sulewski, Christoph, 2019. "The impact of long-short speculators on the volatility of agricultural commodity futures prices," Journal of Commodity Markets, Elsevier, vol. 16(C).
7. Ahmed, Osama, 2021. "Do future markets protect the spot markets in developing countries? The case of the Egyptian wheat market," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 20(5), pages 65-83.
8. Nigatu, Getachew & Adjemian, Michael K., 2016. "The U.S. Role in the Price Determination of Major Agricultural Commodities," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts 236045, Agricultural and Applied Economics Association.
   • Nigatu, Getachew & Adjemian, Michael K., 2016. "The U.S. Role in the Price Determination of Major Agricultural Commodities," 2017 Allied Social Sciences Association (ASSA) Annual Meeting, January 6-8, 2017, Chicago, Illinois 250119, Agricultural and Applied Economics Association.
9. Fassas, Athanasios P. & Papadamou, Stephanos & Koulis, Alexandros, 2020. "Price discovery in bitcoin futures," Research in International Business and Finance, Elsevier, vol. 52(C).
10. Plogmann, Jana & Mußhoff, Oliver & Odening, Martin & Ritter, Matthias, 2022. "Farmland sales under returns and price uncertainty," Economic Modelling, Elsevier, vol. 117(C).
11. Jian Yang & Zheng Li & Tao Wang, 2021. "Price discovery in chinese agricultural futures markets: A comprehensive look," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(4), pages 536-555, April.
12. Li, Hong & Shi, Yanlin, 2021. "A new unique information share measure with applications on cross-listed Chinese banks," Journal of Banking & Finance, Elsevier, vol. 128(C).
13. Plogmann, Jana & Mußhoff, Oliver & Odening, Martin & Ritter, Matthias, 2022. "Farmland sales under returns and price uncertainty," Economic Modelling, Elsevier, vol. 117(C).
    • Odening, Martin & Plogmann, Jana & Musshoff, Oliver & Ritter, Matthias, 2022. "Farmland sales under return and price uncertainty," 2022 Annual Meeting, July 31-August 2, Anaheim, California 322077, Agricultural and Applied Economics Association.
14. Kim, Jaeho & Linn, Scott C., 2022. "Price discovery under model uncertainty," Energy Economics, Elsevier, vol. 107(C).
15. Carol Alexander & Jaehyuk Choi & Heungju Park & Sungbin Sohn, 2020. "BitMEX bitcoin derivatives: Price discovery, informational efficiency, and hedging effectiveness," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(1), pages 23-43, January.
16. Kuck, Konstantin & Schweikert, Karsten, 2023. "Price discovery in equity markets: A state-dependent analysis of spot and futures markets," Journal of Banking & Finance, Elsevier, vol. 149(C).
17. Eewoud Lievens & Kobe Tielens & Erik Mathijs, 2021. "Creating a market for price swaps: Case study of an innovative risk management instrument in the Belgian-Dutch pear market," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 67(1), pages 33-40.
18. 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.
19. Hong Li & Yanlin Shi, 2022. "Robust information share measures with an application on the international crude oil markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(4), pages 555-579, April.
20. 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.
21. Alexander, Carol & Heck, Daniel F., 2020. "Price discovery in Bitcoin: The impact of unregulated markets," Journal of Financial Stability, Elsevier, vol. 50(C).
22. Yang Hou & Steven Li & Fenghua Wen, 2021. "Time-varying information share and autoregressive loading factors: evidence from S&P 500 cash and E-mini futures markets," Review of Quantitative Finance and Accounting, Springer, vol. 57(1), pages 91-110, July.
23. 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.
24. Alejandro Acosta & Rico Ihle & Stephan Cramon-Taubadel, 2019. "Combining market structure and econometric methods for pricetransmission analysis," Food Security: The Science, Sociology and Economics of Food Production and Access to Food, Springer;The International Society for Plant Pathology, vol. 11(4), pages 941-951, August.
25. Li, Miao & Xiong, Tao, 2021. "Dynamic price discovery in Chinese agricultural futures markets," Journal of Asian Economics, Elsevier, vol. 76(C).
26. Torun, Erdost & Chang, Tzu-Pu & Chou, Ray Y., 2020. "Causal relationship between spot and futures prices with multiple time horizons: A nonparametric wavelet Granger causality test," Research in International Business and Finance, Elsevier, vol. 52(C).
27. Martin T. Bohl & Christoph Sulewski, 2018. "The Impact of Long-Short Speculators on the Volatility of Agricultural Commodity Futures Prices," CQE Working Papers 7718, Center for Quantitative Economics (CQE), University of Muenster.
28. Donald Lien & Zijun Wang, 2019. "Quantile information share," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(1), pages 38-55, January.