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The Effects of Commodity and Market Characteristics on Futures Basis Variability

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  • Monson, S. J.

Abstract

A cross commodity approach including storable and nonstorables was used to analyze the basis at constant periods from contract maturity. Various commodity and market characteristics that increase arbitrage potential were found to be significant in decreasing variability in the basis residual, thereby reducing basis risk.

Suggested Citation

  • Monson, S. J., 1989. "The Effects of Commodity and Market Characteristics on Futures Basis Variability," 1989 Annual Meeting, July 30-August 2, Baton Rouge, Louisiana 270515, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    • Handle: RePEc:ags:aaea89:270515
    DOI: 10.22004/ag.econ.270515
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    References listed on IDEAS

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    1. Ward, Ronald W. & Schimkat, Gregory E., 1979. "Risk Ratios And Hedging: Florida Feeder Cattle," Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, vol. 11(1), pages 1-7, July.
    2. Garbade, Kenneth D & Silber, William L, 1983. "Price Movements and Price Discovery in Futures and Cash Markets," The Review of Economics and Statistics, MIT Press, vol. 65(2), pages 289-297, May.
    3. William G. Tomek & Roger W. Gray, 1970. "Temporal Relationships Among Prices on Commodity Futures Markets: Their Allocative and Stabilizing Roles," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 52(3), pages 372-380.
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