THE PRICE ADJUSTMENT PROCESS AND EFFICIENCY OF GRAIN FUTURES MARKETS IMPLIED BY RETURN SERIES OF VARIOUS TIME INTERVALS
Shi-Miin Liu and
Sarahelen Thompson ()
No 270981, 1990 Annual meeting, August 5-8, Vancouver, Canada from American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association)
This study investigates the price adjustment process and efficiency of corn and oats futures markets using data from the 1986 contracts traded on the CBOT. Amihud-Mendelson's (1987) model, Box-Jenkins' (1970) techniques, and Black's (1986) criteria are employed. The competitive performance of speculators in grain futures markets is also examined .
Keywords: Crop Production/Industries; Demand and Price Analysis; Productivity Analysis (search for similar items in EconPapers)
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Working Paper: The Price Adjustment Process and Efficiency of Grain Futures Markets Implied by return Series of Various Time Intervals (1991)
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Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea90:270981
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