Go to main content
Did you know? By making a gift to AgEcon Search, you are helping ensure that our small non-profit continues to provide free full-text access to 15,000 visitors a day from 170+ countries
Format
BibTeX
MARCXML
TextMARC
MARC
DublinCore
EndNote
NLM
RefWorks
RIS

Files

Abstract

Ambiguity, defined as the uncertainty in probability distribution of asset prices resulting from misinterpretation of lack of information, is a current feature of financial assets. There are few empirical studies of ambiguity in financial and commodity futures markets. We define an ambiguity measure of corn and coffee futures daily prices, using the VAR framework to evaluate the autoregressive and cross-impact of the ambiguity and log-returns. Results show that the ambiguity in corn futures prices illustrates a higher impact compared with coffee futures prices, with a possible explanation being the action of non-commercial traders. The knowledge of the ambiguity measure in commodity futures markets can be applied to enhance production, storage, trading and hedging decisions.

Details

PDF

Statistics

from
to
Export
Download Full History