Information Demand and Agriculture Commodity Prices

Massimo Peri, Daniela Vandone () and Lucia Baldi

No 144973, 2012 International European Forum, February 13-17, 2012, Innsbruck-Igls, Austria from International European Forum on System Dynamics and Innovation in Food Networks

Abstract: This paper investigates the effect of information flow on corn futures price variability for the period January 2004 -July 2011. The theoretical framework is the Mixture Distribution Hypothesis, that posits a joint dependence of return volatility and information. The main contribution of this article is that we use two different proxy for the observed component of information flow that allow to separate the effect of supply (News) and demand (Internet Search Volume) of information. Empirical estimates highlight that: i) results support the MDH since observed volatility persistence appears to be related to the information flow; ii) variation in information demand has a significant effect on volatility of futures corn returns even controlling for variation in information supply and such result can be interpreted in light of behavioural finance.

Keywords: Agribusiness; Agricultural Finance; Demand and Price Analysis; Food Consumption/Nutrition/Food Safety (search for similar items in EconPapers)
Pages: 11
Date: 2012-09
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Persistent link: https://EconPapers.repec.org/RePEc:ags:iefi12:144973

DOI: 10.22004/ag.econ.144973

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