Price discovery in agricultural commodity markets in the presence of futures speculation

被引：48

作者：

Dimpfl, Thomas ^{[1
]}

Flad, Michael ^{[3
]}

Jung, Robert C. ^{[2
]}

机构：

[1] Univ Tubingen, Mohlstr 36, D-72074 Tubingen, Germany

[2] Univ Hohenheim, Schloss Hohenheim 1 C, D-70599 Stuttgart, Germany

[3] Univ Appl Sci Esslingen, Flandernstr 101, D-73732 Esslingen, Germany

来源：

JOURNAL OF COMMODITY MARKETS | 2017年 / 5卷

关键词：

Agricultural commodities; Price discovery; Unique information shares; Futures speculation; COINTEGRATION VECTORS; MICROSTRUCTURE; CASH;

D O I：

10.1016/j.jcomm.2017.01.002

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We study the relationship between spot and futures prices of corn, wheat, soybeans, soybean meal and oil, feeder and live cattle, as well as lean hogs to test which markets lead price discovery in these commodities. Using a recently developed unique information share we find evidence that the prices of these commodities are almost uniquely formed in the spot market. The market for futures contracts contributes less than 10% to price discovery (in the Hasbrouck sense). We interpret these results as evidence against adverse effects of futures speculation on commodity prices in the long run.

引用

页码：50 / 62

页数：13

共 50 条

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