INVESTIGATION OF PRICE DISCOVERY AND EFFICIENCY FOR CASH AND FUTURES COTTON PRICES

B Brorsen, DeeVon Bailey and James Richardson ()

Western Journal of Agricultural Economics, 1984, vol. 09, issue 01, 7

Abstract: The dynamic relationship between daily cash and futures prices is investigated using time series analysis. The procedure involves causality tests between the two price series. The results show that futures price movements lead cash prices, implying that prices are discovered in the futures market.

Keywords: Demand and Price Analysis; Marketing (search for similar items in EconPapers)
Date: 1984
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Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:ags:wjagec:32383

DOI: 10.22004/ag.econ.32383

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