Price Discovery in Agricultural Markets

Keshab Shrestha, Ravichandran Subramaniam and Thangarajah Thiyagarajan
Additional contact information
Thangarajah Thiyagarajan: Monash University Malaysia

American Business Review, 2020, vol. 23, issue 1, 53-69

Abstract: In this study, we empirically analyze the contribution of futures markets to the price discovery process for seven agricultural commodities using the generalized information share proposed by Lien and Shrestha (2014) and component share based on the permanent-temporary decomposition proposed by Gonzalo and Granger (1995). We find that most of the price discovery takes place in the futures markets with the exception of cocoa. Our results show that futures markets play an important role in price discovery process. These results are important to academicians, practitioners, policymakers as well as business leaders.

Keywords: Cointegration; Information Share; Price Discovery (search for similar items in EconPapers)
JEL-codes: C30 G10 Q40 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://digitalcommons.newhaven.edu/cgi/viewconten ... ericanbusinessreview Full-text (application/pdf)

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:ris:ambsrv:0004

Access Statistics for this article

American Business Review is currently edited by Kamal Upadhyaya and Subroto Roy

More articles in American Business Review from Pompea College of Business, University of New Haven Contact information at EDIRC.
Bibliographic data for series maintained by Amber Montano ().