Asymmetric spot‐futures price adjustments in grain markets

Zhige Wu (), Alex Maynard, Alfons Weersink and Getu Hailu

Journal of Futures Markets, 2018, vol. 38, issue 12, 1549-1564

Abstract: Recent volatility in food prices in the grain market has generated much interest among agricultural market participants. This study examines the nonlinear dynamic relationship between spot and futures prices in grain markets. The empirical results provide strong evidence of price asymmetries. The corn spot price adjusts faster to futures price increases than futures price decreases, whereas the soybean spot price adjusts faster to futures price decreases than futures price increases. Although this asymmetric adjustment is found for a single market in Ontario, Canada, the results may also provide insights on the spot‐futures price convergence issues in other commodity markets.

Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://doi.org/10.1002/fut.21966

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:wly:jfutmk:v:38:y:2018:i:12:p:1549-1564

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0270-7314

Access Statistics for this article

Journal of Futures Markets is currently edited by Robert I. Webb

More articles in Journal of Futures Markets from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().