Price Discovery and Market Reflexivity in Agricultural Futures Contracts with Different Maturities

Steffen Volkenand, Günther Filler and Martin Odening
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Steffen Volkenand: Department of Agricultural Economics, Humboldt-Universität zu Berlin, 10099 Berlin, Germany
Günther Filler: Department of Agricultural Economics, Humboldt-Universität zu Berlin, 10099 Berlin, Germany

Risks, 2020, vol. 8, issue 3, 1-17

Abstract: The purpose of this paper is to analyze market reflexivity in agricultural futures contracts with different maturities. To this end, we apply a four-dimensional Hawkes model to storable and non-storable agricultural commodities. We find market reflexivity for both storable and non-storable commodities. Reflexivity accounts for about 50 to 70% of the total trading activity. Differences between nearby and deferred contracts are less pronounced for non-storable than for storable commodities. We conclude that the co-existence of exogenous and endogenous price dynamics does not change qualitative characteristics of the price discovery process that have been observed earlier without the consideration of market reflexivity.

Keywords: agricultural commodity futures; price discovery; market reflexivity; Hawkes process (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:gam:jrisks:v:8:y:2020:i:3:p:75-:d:383140

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