Price Discovery in Agricultural Futures Markets: Should We Look beyond the Best Bid‐Ask Spread?
Author:
Affiliation:
1. Department of Business AdministrationLakehead University
2. Department of Agribusiness and Agricultural EconomicsUniversity of Manitoba
Funder
Social Sciences and Humanities Research Council of Canada
Publisher
Wiley
Subject
Economics and Econometrics,Agricultural and Biological Sciences (miscellaneous)
Link
https://onlinelibrary.wiley.com/doi/pdf/10.1093/ajae/aaz001
Reference67 articles.
1. AidovA.2013. Three Essays on Market Depth in Futures Markets. PhD Dissertation Florida International University. FIU Electronic Theses and Dissertations Paper 974.http://digitalcommons.fiu.edu/etd/974(last accessed on 24/01/2016).
2. Depth Characteristics for the Electronic Futures Limit Order Book
3. Information and the Intermediary: Are Market Intermediaries Informed Traders in Electronic Markets?
4. Geographic proximity and price discovery: Evidence from NASDAQ
5. THE IMPACT OF PRICE VARIABILITY ON CASH/FUTURES MARKET RELATIONSHIPS: IMPLICATIONS FOR MARKET EFFICIENCY AND PRICE DISCOVERY
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