In order to assure survival, futures exchanges around the world are in constant search of new futures contracts that will generate a profitable level of trading volume. Introducing new futures contracts may increase or decrease the volume for those contracts already listed. Using a multi-product...

The distributional behavior of futures price spreads is examined for four commodities: corn, live cattle, gold and T-bonds. Remarkably different results are found over commodities, time period, and sample size. Actual spread changes for the smaller sample size of gold and T-bonds and for corn...

The informational value of USDA corn and soybean production forecasts is investigated for the period 1971-1992. Three tests of informational content are considered: i) a relative forecast accuracy test, ii) a price reaction test, and iii) a willingness-to-pay test. Overall, the results suggest...

Using settlement prices and 9 years of daily commitments for large reporting traders in the frozen pork bellies futures market, we find that these traders generate significant profits and the distribution of trader returns over time is not random. Further analysis finds that a subset of large...

This study examines the spot and futures price relationships using the cointegration approach for two storable commodities, corn and soybeans, over a thirteen-year period 1980 to 1992. It is found that specifying a time dimension in the cointegration relation is important to finding evidence of...

The study investigates price relationships and linkages among different markets using daily futures prices of corn, live hogs, crude oil, Treasury bills, and deutsche marks with two alternative time series techniques. Results suggest that price linkages consistent over time are extremely limited

Futures exchanges are in constant search of futures contracts that will generate a profitable level of trading volume. In this context, it would be interesting to determine what effect the introduction of new futures contracts have on the trading volume of the contracts already listed. The...

We propose a behavioral decision-making model to investigate what factors, observable as well as unobservable, owner-managers consider regarding futures contract usage. The conceptual model consists of two phases, reflecting the two-stage decision structure of manager's use of futures. In the...