Liquidation Bias in Futures Price Spreads

Allen B. Paul

American Journal of Agricultural Economics, 1986, vol. 68, issue 2, 313-321

Abstract: This paper reports an unmistakable tendency during the final weeks of trading for the price of most commodity futures contracts to rise by a small but statistically significant amount relative to the price of the next maturity. Of four explanations examined, two squeeze theories are least plausible in the light of available evidence. The other two theories, one a variant of the Keynes-Hicks hypothesis, the other a theory based on the overlap of trading and delivery, are more plausible. Yet they differ in character, generality, and in their implications for market efficiency. More data are needed to appraise them.

Date: 1986
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://hdl.handle.net/10.2307/1241433 (application/pdf)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:oup:ajagec:v:68:y:1986:i:2:p:313-321.

Access Statistics for this article

American Journal of Agricultural Economics is currently edited by Madhu Khanna, Brian E. Roe, James Vercammen and JunJie Wu

More articles in American Journal of Agricultural Economics from Agricultural and Applied Economics Association Contact information at EDIRC.
Bibliographic data for series maintained by Oxford University Press ().