Price discovery dynamics in European agricultural markets

被引：28
|
作者：
Adaemmer, Philipp [1 ]
Bohl, Martin T. [2 ]
机构：
[1] Helmut Schmidt Univ, Dept Math Stat, Chair Appl Stochast & Risk Management, Holstenhofweg 85, D-22043 Hamburg, Germany
[2] Univ Munster, Dept Econ, Chair Monetary Econ, Munster, Germany
来源：
JOURNAL OF FUTURES MARKETS | 2018年 / 38卷 / 05期
关键词：
common factor weights; european agricultural markets; price discovery; time-varying VECM; NUMERICAL DISTRIBUTION-FUNCTIONS; AUTOREGRESSIVE TIME-SERIES; COMMODITY FUTURES MARKETS; UNIT-ROOT; COINTEGRATION VECTORS; SPOT; HYPOTHESIS; MODELS; TESTS; CASH;
D O I：
10.1002/fut.21891
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This article examines the influence of European agricultural futures contracts on price discovery during periods of price turmoil and rising trading activity. We use a hand-collected data set of spot and futures prices for canola, wheat, and corn and show that the impact of the futures markets was high during the first period of price spikes (2007 to 2009) but lower during the second one (2010 to 2013). These results are noteworthy as more trading activity in futures markets did not lead to a higher influence on spot prices.
引用
收藏
页码：549 / 562
页数：14
相关论文
共 50 条
  • [1] Price dynamics in agricultural commodity markets: a comparison of European and US markets
    Statnik, Jean-Christophe
    Verstraete, David
    [J]. EMPIRICAL ECONOMICS, 2015, 48 (03) : 1103 - 1117
  • [2] Price dynamics in agricultural commodity markets: a comparison of European and US markets
    Jean-Christophe Statnik
    David Verstraete
    [J]. Empirical Economics, 2015, 48 : 1103 - 1117
  • [3] Price discovery in European natural gas markets
    Schultz, Emma
    Swieringa, John
    [J]. ENERGY POLICY, 2013, 61 : 628 - 634
  • [4] Price dynamics in European petroleum markets
    Wlazlowski, Szymon
    Giulietti, Monica
    Binner, Jane
    Milas, Costas
    [J]. ENERGY ECONOMICS, 2009, 31 (01) : 99 - 108
  • [5] Dynamic price discovery in Chinese agricultural futures markets
    Li, Miao
    Xiong, Tao
    [J]. JOURNAL OF ASIAN ECONOMICS, 2021, 76
  • [6] Asymmetric price adjustment and price discovery in spot and futures markets of agricultural commodities
    Chen, Zhuo
    Yan, Bo
    Kang, Hanwen
    Liu, Liyu
    [J]. REVIEW OF ECONOMIC DESIGN, 2023, 27 (01) : 139 - 162
  • [7] Asymmetric price adjustment and price discovery in spot and futures markets of agricultural commodities
    Zhuo Chen
    Bo Yan
    Hanwen Kang
    Liyu Liu
    [J]. Review of Economic Design, 2023, 27 : 139 - 162
  • [8] Price discovery in agricultural commodity markets in the presence of futures speculation
    Dimpfl, Thomas
    Flad, Michael
    Jung, Robert C.
    [J]. JOURNAL OF COMMODITY MARKETS, 2017, 5 : 50 - 62
  • [9] Price discovery in chinese agricultural futures markets: A comprehensive look
    Yang, Jian
    Li, Zheng
    Wang, Tao
    [J]. JOURNAL OF FUTURES MARKETS, 2021, 41 (04) : 536 - 555
  • [10] Price discovery in agricultural commodity markets: Do speculators contribute?
    Bohl, Martin T.
    Siklos, Pierre L.
    Stefan, Martin
    Wellenreuther, Claudia
    [J]. JOURNAL OF COMMODITY MARKETS, 2020, 18
12345