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This study analyzes the time series statistical properties of wheat futures prices to determine whether price behavior differs among intramarket contracts. We argue that the differential role of inventories, information, hedging objectives and probability of stockout across seasons provide a theoretical basis and empirical interest for finding such a difference. The behavior of May and September futures prices are indeed found to be significantly different and in ways consistent with theory. Furthermore, an endogenous contract arrival effect is found for both contracts, demonstrating the importance of developing models which incorporate market activity proxies.


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