IS THE THINLY-TRADED BUTTER FUTURES CONTRACT PRICED EFFICIENTLY?

Fabien Tondel and Leigh Maynard

No 34684, 2004 Annual Meeting, February 14-18, 2004, Tulsa, Oklahoma from Southern Agricultural Economics Association

Abstract: After over eight years of trading, the Chicago Mercantile Exchange butter futures contract remains thinly traded, possibly impeding price discovery. Pricing efficiency was assessed using cointegration techniques and error correction models. Results suggest that market efficiency could not be rejected up to a two-month forecast horizon. Illiquid markets reduce hedging performance, which in turn discourage liquidity growth.

Keywords: Marketing (search for similar items in EconPapers)
Pages: 20
Date: 2004
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://ageconsearch.umn.edu/record/34684/files/sp04to08.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:saeaft:34684

DOI: 10.22004/ag.econ.34684

Access Statistics for this paper

More papers in 2004 Annual Meeting, February 14-18, 2004, Tulsa, Oklahoma from Southern Agricultural Economics Association Contact information at EDIRC.
Bibliographic data for series maintained by AgEcon Search ().