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.
Title
INVESTIGATION OF PRICE DISCOVERY AND EFFICIENCY FOR CASH AND FUTURES COTTON PRICES
Issue Date
1984-07
Publication Type
Journal Article
Record Identifier
https://ageconsearch.umn.edu/record/32383
PURL Identifier
http://purl.umn.edu/32383
Published in
Western Journal of Agricultural Economics
Volume
09
Issue
1
Page Range
170 - 176
Total Pages
7
