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

Brorsen, B. Wade; Bailey, DeeVon; Richardson, James W.

doi:10.22004/ag.econ.32383

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

Brorsen, B. Wade ; Bailey, DeeVon ; Richardson, James W.

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.

Subject(s):

Demand and Price Analysis
Marketing

Issue Date:

1984-07

Publication Type:

Journal Article

DOI and Other Identifiers:

10.22004/ag.econ.32383

Record Identifier:

https://ageconsearch.umn.edu/record/32383

PURL Identifier:

http://purl.umn.edu/32383