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)

Abstract: 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)
Pages: 22
Date: 1990-08-05
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Related works:
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

DOI: 10.22004/ag.econ.270981

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