Author:
ARNADE CARLOS,HOFFMAN LINWOOD
Abstract
AbstractThis study investigates the relationship between cash and futures prices of soybeans and soybean meal from 1992 to 2013. Error correction models are estimated for the prices of both commodities. An exogenous measure of price variability is included in both models to determine if variability increases the speed with which cash and futures prices return to their long-run equilibrium relationship. This is used to measure the impact of price variability on short-run market efficiency and the price discovery process. The findings indicate that the level of price variability influences market adjustment rates and the price discovery process.
Publisher
Cambridge University Press (CUP)
Subject
Economics and Econometrics,Agricultural and Biological Sciences (miscellaneous)
Cited by
17 articles.
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