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Please use this identifier to cite or link to this item: http://purl.umn.edu/37568

Title: Measuring the Influence of Commodity Fund Trading on Soybean Price Discovery
Authors: Plato, Gerald E.
Hoffman, Linwood A.
Keywords: price discovery
commodity funds
cointegration
Beveridge-Nelson decomposition
Issue Date: 2007-04
Abstract: The increase in commodity fund trading in the agricultural commodity futures markets has raised concern that this trading is degrading the price discovery performance of these markets. We used the Beveridge-Nelson Decomposition procedure to estimate the price discovery performance of the soybean futures and spot markets. We found that the price discovery performance of the soybean futures market has improved along with the increased commodity fund trading. Our results indicated that a portion of the price discovered in the soybean futures market is passed to the spot market.
URI: http://purl.umn.edu/37568
Institution/Association: NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management>2007 Conference, April 16-17, 2007, Chicago, Illinois
Total Pages: 16
Collections:2007 Conference, April 16-17, 2007, Chicago, Illinois

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