INVESTIGATION OF PRICE DISCOVERY AND EFFICIENCY FOR CASH AND FUTURES COTTON PRICES

The dynamic relationship between daily cash and futures prices is investigated using time series analysis. The procedure involves causality tests between the two price series. The results show that futures price movements lead cash prices, implying that prices are discovered in the futures market.


Issue Date:
1984-07
Publication Type:
Journal Article
PURL Identifier:
http://purl.umn.edu/32383
Published in:
Western Journal of Agricultural Economics, Volume 09, Number 1
Page range:
170-176
Total Pages:
7




 Record created 2017-04-01, last modified 2017-08-24

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