This paper examines the information shares in four pairs of Canadian agricultural cash and futures markets by exploring their cointegrating relationships. Using error correction models (ECMs) and Hasbrouck's econometric method of estimating information shares, the results show that the price...

The purpose of this paper is to investigate the relationship between US and Canadian wheat futures prices in order to analyse the degree of information spillover between the futures exchanges of both countries. Although considerable research has focused on the relationship between US and...