share method proposed by Hasbrouck in order to examine the market efficiency in price discovery and information transmission …. Results show that although the futures market is efficient in price discovery and information transmission, the cash market … leads the long-run price discovery process. This suggests that the underlying cause of the dominance of the available market …

Most analysis of agricultural commodity market integration is solely based on price information. However, adding trade … data can improve the understanding of interactions between interrelated markets. We link the analysis of price transmission … price interdependencies. Using a Markov-switching vector error correction model (MSVECM) we allow for structural changes …