Wheat Futures Price Behavior: Theoretical and Empirical Considerations

Dawn D. Thilmany and Jau-Rong Li

No 285677, 1981-1999 Conference Archive from NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management

Abstract: This study analyzes the time series statistical properties of wheat futures prices to determine whether price behavior differs among intramarket contracts. We argue that the differential role of inventories, information, hedging objectives and probability of stockout across seasons provide a theoretical basis and empirical interest for finding such a difference. The behavior of May and September futures prices are indeed found to be significantly different and in ways consistent with theory. Furthermore, an endogenous contract arrival effect is found for both contracts, demonstrating the importance of developing models which incorporate market activity proxies.

Keywords: Marketing (search for similar items in EconPapers)
Date: 1996-04
References: Add references at CitEc
Citations:

Downloads: (external link)
https://ageconsearch.umn.edu/record/285677/files/confp5-96.pdf (application/pdf)

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:ags:nc8191:285677

DOI: 10.22004/ag.econ.285677

Access Statistics for this paper

More papers in 1981-1999 Conference Archive from NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management
Bibliographic data for series maintained by AgEcon Search ().