IS THE THINLY-TRADED BUTTER FUTURES CONTRACT PRICED EFFICIENTLY?

After over eight years of trading, the Chicago Mercantile Exchange butter futures contract remains thinly traded, possibly impeding price discovery. Pricing efficiency was assessed using cointegration techniques and error correction models. Results suggest that market efficiency could not be rejected up to a two-month forecast horizon. Illiquid markets reduce hedging performance, which in turn discourage liquidity growth.


Subject(s):
Issue Date:
2004
Publication Type:
Conference Paper/ Presentation
PURL Identifier:
http://purl.umn.edu/34684
Total Pages:
20
Series Statement:
Selected Paper




 Record created 2017-04-01, last modified 2017-08-25

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