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

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

1 论文标题
Price discovery in agricultural commodity markets in the presence of futures speculation
2 作者信息
Dimpfl, Thomas
3 出处和链接（比如，NBER working paper No.11000）

4 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.

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏0 回帖

关键词：Agricultural Commodity Discovery Cultural Discover