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Estimating the Location of World Wheat Price Discovery

Joseph Janzen () and Michael Adjemian ()

No 250112, 2017 Allied Social Sciences Association (ASSA) Annual Meeting, January 6-8, 2017, Chicago, Illinois from Agricultural and Applied Economics Association

Abstract: The United States may be losing its leadership role in the world wheat market. Rising trading volume in foreign futures markets and shifting shares of world trade are suggested as evidence of this shift, but neither necessitates that futures markets in the United States are any less important for wheat price discovery. This paper applies market microstructure methods including the Yan and Zivot (2010) information leadership share to estimate the proportion of price discovery occurring in wheat futures markets in Chicago, Minneapolis, and Paris. We find that United States markets still dominate wheat price discovery, although the share of price discovery for the Paris market jumped noticeably in 2010 coinciding with major supply shocks in Russia and Ukraine.

Keywords: Agribusiness; Agricultural Finance; Crop Production/Industries; International Relations/Trade (search for similar items in EconPapers)
Pages: 25
Date: 2016-11
New Economics Papers: this item is included in nep-agr, nep-cis and nep-mst
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Persistent link: https://EconPapers.repec.org/RePEc:ags:assa17:250112

DOI: 10.22004/ag.econ.250112

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