THRESHOLD EFFECTS IN FOOD AND AGRIBUSINESS STOCK PRICE MARKETS

Christine Wilson, Allen Featherstone and Terry L. Kastens

No 20591, 2001 Annual meeting, August 5-8, Chicago, IL from American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association)

Abstract: This study investigates the dynamics of agribusiness stock returns and the market return for 22 firms in a switching-regression framework. Threshold levels and regression slopes are estimated and tested. Results indicate how parameters differ for alternative regimes, at what levels dynamic adjustments take place, and the adjustment time involved.

Keywords: Marketing (search for similar items in EconPapers)
Pages: 24
Date: 2001
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Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea01:20591

DOI: 10.22004/ag.econ.20591

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