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

页码：549 / 562

页数：14

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