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Price Discovery in Wheat Futures Markets

Published online by Cambridge University Press:  28 April 2015

Jian Yang  and
David J. Leatham
Jian Yang
Affiliation:
Department of Agricultural Economics, Texas A&M University
David J. Leatham
Affiliation:
Department of Agricultural Economics, Texas A&M University
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Abstract

This paper examines the price discovery function for three U.S. wheat futures markets: the Chicago Board of Trade, Kansas City Board of Trade, and Minneapolis Grain Exchange. The maintained hypothesis is that futures markets search more for information than cash markets to find an equilibrium price, thus greatly improving the price discovery function. The tests reveal the existence of one equilibrium price across the three futures markets in the long run, but no cointegration among prices in the three representative cash markets.

Keywords

error correction modelprice discoverywheat futures
Type
Articles
Information
Journal of Agricultural and Applied Economics , Volume 31 , Issue 2 , August 1999 , pp. 359 - 370
Copyright
Copyright © Southern Agricultural Economics Association 1999

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