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Establishing the Presence of a Risk Premium in the Cocoa Futures Market: An Econometric Analysis

Armah, Stephen E. - 2008

Previous attempts at identifying and estimating a time-varying risk premium in the cocoa futures market yielded conflicting results. Using a longer series that includes the most recent cash and futures data, the existence of a time-varying risk premium in the cocoa futures market is...

Persistent link: https://www.econbiz.de/10009443197

Price efficiency and speculative trading in cocoa futures markets

Nardella, Michele - 2007

In recent years a number of market participants called into question the efficiency of the price discoverymechanism in commodity futures markets. They believe that speculators move commodity futures marketsaway from their fundamentals by distorting prices and exacerbating volatility. The smoking...

Persistent link: https://www.econbiz.de/10009445112

Strategic Interactions, Risks and Coordination Costs in Food Marketing Channels: The Mediating Role of Futures Markets

Kuwornu, John K.M.; Kuiper, W. Erno; Pennings, Joost M.E.; … - 2006

We examine the interaction of marketing channel members and the influence of these interactions on incentives …, coordination costs, and risk allocation strategies in a food marketing channel. For this purpose we specify a three-stage principal …-agent marketing channel model involving producers, wholesalers, retailers and a futures market. We compare the situation with and …

Persistent link: https://www.econbiz.de/10009445153

Does Futures Price Volatility Differ Across Delivery Horizon?

Karali, Berna; Dorfman, Jeffrey H.; Thurman, Walter N. - 2009

We study the difference in the volatility dynamics of CBOT corn, soybeans, and oatsfutures prices across different delivery horizons via the smoothed Bayesian estimatorof Karali, Dorfman, and Thurman (2010). We show that the futures price volatilitiesin these markets are affected by the...

Persistent link: https://www.econbiz.de/10009446386

Cotton Futures Dynamics: Structural Change, Index Traders and the Returns to Storage

Power, Gabriel J.; Robinson, John R.C. - 2009

The commodity bull cycle of 2006-2008 and subsequent dramatic price decline have been asource of hardship for traditional commodity market participants such as producers andmerchant/shippers. The usefulness of futures markets has been called into question, especiallygiven that some market...

Persistent link: https://www.econbiz.de/10009446392

Discussion: Agricultural Commodities and Agribusiness Stocks as Financial Assets

Brorsen, B. Wade - In: Journal of Agricultural and Applied Economics 44 (2012) 03

Nonfarm investors might benefit from diversifying their portfolios by investing in the agricultural sector. Such diversifying investments could include investments in agricultural stocks or long-only futures positions through index funds. The papers in this session investigate the...

Persistent link: https://www.econbiz.de/10010880438

Financialization and Structural Change in Commodity Futures Markets

Irwin, Scott H.; Sanders, Dwight R. - In: Journal of Agricultural and Applied Economics 44 (2012) 03

The first decade of the 21st century has perhaps witnessed more structural change in commodity futures markets than all previous decades combined. Not only have trading volumes and open interest increased markedly, but this time period also saw historic changes in both trading and participants....

Persistent link: https://www.econbiz.de/10010914320

The Value of USDA Crop Progress and Condition Information: Reactions of Corn and Soybean Futures Markets

Lehecka, Georg V. - In: Journal of Agricultural and Resource Economics 39 (2014) 1

This paper investigates the informational value of USDA crop progress and condition information by analyzing reactions of corn and soybean futures markets from 1986 to 2012. Results show significant differences between close-to-open return variabilities on report-release trading days and pre-...

Persistent link: https://www.econbiz.de/10010918078

SUCCESS AND FAILURE OF AGRICULTURAL FUTURES CONTRACTS

Brorsen, B. Wade; Fofana, N'Zue F. - In: Journal of Agribusiness 19 (2001) 2

Most new futures contracts fail. This study estimates the effects of several factors on the success or failure of agricultural futures contracts. Commodities with futures markets and without futures markets are included. Characteristics for which no data exist, such as homogeneity, vertical...

Persistent link: https://www.econbiz.de/10005339060

REGIONAL AND SEASONAL DIFFERENCES IN THE COTTON BASIS

Seamon, V. Frederick; Kahl, Kandice H.; Curtis Jr., … - In: Journal of Agribusiness 19 (2001) 2

The cotton basis is examined graphically and statistically to determine if the basis differs across U.S. production regions and within the crop year as economic theory predicts. The analysis indicates the basis differs for some, but not all, regions consistent with the theory. Results also show...

Persistent link: https://www.econbiz.de/10005339063