Measuring the Influence of Commodity Fund Trading on Soybean Price Discovery

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.


Issue Date:
2007-04
Publication Type:
Conference Paper/ Presentation
PURL Identifier:
http://purl.umn.edu/37568
Total Pages:
16




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

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