|
AgEcon Search >
Western Agricultural Economics Association >
2000 Annual Meeting, June 29-July 1, 2000, Vancouver, British Columbia >
Please use this identifier to cite or link to this item:
http://purl.umn.edu/36334
|
| Title: | AN EXAMINATION OF FUTURES PRICE DETERMINATION THROUGH THE LENS OF MARKET INTEGRATION |
| Authors: | Dahlgran, Roger A. |
| Authors (Email): | Dahlgran, Roger A. (dahlgran@u.arizona.edu) |
| Issue Date: | 2000 |
| Series/Report no.: | Selected Paper of the 2000 Annual Meeting, June 29-July 1, 2000, Vancouver, British Columbia |
| Abstract: | This paper develops a general model of cash and futures markets for a storable commodity. The cash market model is characterized by the incorporation of long hedged to establish contractual claims against existing inventories, which may be either short hedged or unhedged. The futures market model incorporates outright speculation as well as spread speculation. The paper then examines through mathematical analysis the characteristics these markets must possess if they are informationally efficient, if they are conformable for testing price discovery, and if they are integrated in the short or long run.
Thus far results indicate that informationally efficient futures markets are characterized by any one of five conditions: (1) perfectly inelastic utilization demand, (20 perfectly inelastic hedged inventory demand, (3) futures markets not used for hedging, (4) perfectly elastic speculation, or (5) infinitely elastic utilization demand and perfectly inelastic speculation. These conditions further imply that if futures markets are informationally efficient, their prices are not determined simultaneously with cash prices. The extreme assumptions associated with informational efficiency highlight the deficiency of the concept. |
| URI: | http://purl.umn.edu/36334 |
| Institution/Association: | Western Agricultural Economics Association>2000 Annual Meeting, June 29-July 1, 2000, Vancouver, British Columbia |
| Total Pages: | 32 |
| Language: | English |
| Collections: | 2000 Annual Meeting, June 29-July 1, 2000, Vancouver, British Columbia
|
Files in This Item:
| File |
Size | Format |
|---|
| sp00da01.pdf | 2126Kb | PDF | View/Open |
|
Recommend this item
All items in AgEcon Search are protected by copyright.
|
