Duration dependence among agricultural futures with different maturities

Volkenand, Steffen; Filler, Günther; Kionka, Marlene; Odening, Martin

doi:10.1080/13504851.2019.1610703

Cited by 3 publications

(2 citation statements)

References 7 publications

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“…The dominance of nearer contracts, however, is less pronounced for live cattle than for corn, which is explained by differences in the storability of these commodities. Recently, Volkenand et al (2019) investigate the duration dependence among agricultural futures with different maturities, exploiting the fact that the time between market events (transactions or price changes) carries information (Easley and O'Hara 1992). They apply an autoregressive conditional duration (ACD) model to price durations for corn, wheat, live cattle, and lean hog.…”

Section: Introductionmentioning

confidence: 99%

Price Discovery and Market Reflexivity in Agricultural Futures Contracts with Different Maturities

Volkenand

Filler

Odening

2020

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The purpose of this paper is to analyze market reflexivity in agricultural futures contracts with different maturities. To this end, we apply a four-dimensional Hawkes model to storable and non-storable agricultural commodities. We find market reflexivity for both storable and non-storable commodities. Reflexivity accounts for about 50 to 70% of the total trading activity. Differences between nearby and deferred contracts are less pronounced for non-storable than for storable commodities. We conclude that the co-existence of exogenous and endogenous price dynamics does not change qualitative characteristics of the price discovery process that have been observed earlier without the consideration of market reflexivity.

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Section: Introductionmentioning

confidence: 99%

Price Discovery and Market Reflexivity in Agricultural Futures Contracts with Different Maturities

Volkenand

Filler

Odening

2020

Risks

Self Cite

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show abstract

“…The dominance of nearer contracts, however, is less pronounced for live cattle than for corn, which is explained by differences in storability of these commodities. Recently, Volkenand et al (2019) investigate the duration dependence among agricultural futures with different maturities, exploiting the fact that the time between market events (transactions or price changes) carries information (Easley and O'Hara 1992). They apply an autoregressive conditional duration (ACD) model to price durations for corn, wheat, live cattle, and lean hog.…”

Section: Introductionmentioning

confidence: 99%

Price Discovery and Market Reflexivity in Agricultural Futures Contracts with Different Maturities

Volkenand¹,

Filler²,

Odening³

2020

Preprint

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The purpose of this paper is to analyze market reflexivity in agricultural futures contracts with different maturities. To this end, we apply a four-dimensional Hawkes model to storable and non-storable agricultural commodities. We find market reflexivity for both storable and non-storable commodities. Reflexivity accounts for about 50 to 70 percent of the total trading activity. Differences between nearby and deferred contracts are less pronounced for non-storable than for storable commodities. We conclude that the co-existence of exogenous and endogenous price dynamics does not change qualitative characteristics of the price discovery process that have been observed earlier without consideration of market reflexivity.

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Should dominant contracts move to nearby months?--Evidence from Chinese agricultural futures markets

Xie

2022

Applied Economics

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Duration dependence among agricultural futures with different maturities

Cited by 3 publications

References 7 publications

Price Discovery and Market Reflexivity in Agricultural Futures Contracts with Different Maturities

Price Discovery and Market Reflexivity in Agricultural Futures Contracts with Different Maturities

Price Discovery and Market Reflexivity in Agricultural Futures Contracts with Different Maturities

Should dominant contracts move to nearby months?--Evidence from Chinese agricultural futures markets

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