Microstructure and high-frequency price discovery in the soybean complex

Xinquan Zhou (), Guillaume Bagnarosa (), Alexandre Gohin (), Joost M.E. Pennings and Philippe Debie
Additional contact information
Xinquan Zhou: DCU - Dublin City University [Dublin]
Guillaume Bagnarosa: ESC Rennes School of Business - ESC [Rennes] - ESC Rennes School of Business
Alexandre Gohin: SMART - Structures et Marché Agricoles, Ressources et Territoires - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement - Institut Agro Rennes Angers - Institut Agro - Institut national d'enseignement supérieur pour l'agriculture, l'alimentation et l'environnement
Joost M.E. Pennings: WUR - Wageningen University and Research [Wageningen], Maastricht University [Maastricht], University of Illinois [Springfield]
Philippe Debie: WUR - Wageningen University and Research [Wageningen], Wageningen Economic Research

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Abstract: We develop a theoretical framework and propose a relevant empirical analysis of the soybean -complex prices' cointegration relationships in a high-frequency setting. We allow for hetero-geneous expectations among traders on the multi-asset price dynamics and characterize the resulting market behaviour. We demonstrate that the asset prices' autoregressive matrix rank and the speed of reversion towards the long-term equilibrium are related to the market realized and potential liquidity, unlike the cointegrating vector. Our empirical application to the soybean complex, where we control for volatility, supports our theoretical results when the price idleness of the different assets is properly accounted for. Our analysis further suggests that the presence of cointegration among assets is related to the time of day and the contract maturities traded at a given time.

Keywords: Soybean; Futures market microstructure; Liquidity; Price discovery; High-frequency (search for similar items in EconPapers)
Date: 2023-06
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Published in Journal of Commodity Markets, 2023, 30, pp.100314. ⟨10.1016/j.jcomm.2023.100314⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04059421

DOI: 10.1016/j.jcomm.2023.100314

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