Cobweb price dynamics under the presence of agricultural futures market: theoretical analysis

This paper aims to study and compare the efficiency in futures markets for soybean crop between Buenos Aires (MATBA) and Chicago (CME–CBOT) for the years 1994 through 2015. There are numerous studies that analyze this phenomenon independently, but few of them have done a comparative analysis between marke- ts. Therefore, the main objective of this research — in addition to individually analyzing the efficiency in futures market in each country — is to be able to detect the existence of a relationship between the two markets. In this article we show that, in addition for market efficiency in all cases, market efficiency in MatBa was derived from the efficiency in CME–CBOT. This means that relevant information is transmitted from the Chicago market to the one in Buenos Aires. By using a cointegration approach based on Johansen (1995) we estimated the models with monthly and daily data.

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La crisi alimentare e la speculazione finanziaria sulle materie prime

SOCIOLOGIA URBANA E RURALE ◽

10.3280/sur2008-087004 ◽

2009 ◽

pp. 63-79

Author(s):

Giordano Sivini

Keyword(s):

Futures Market ◽

Insurance Companies ◽

Food Crisis ◽

Wall Street ◽

Accumulation By Dispossession ◽

Financial Speculation ◽

International Prices ◽

Investment Opportunities ◽

Agricultural Futures ◽

Long Time

- In this article the author analyses the factors that have produced the rise in commodities prices, making exasperated a food crises that has been creeping for a long time. The tightly correlated evolution in prices for both agricultural and non agricultural commodities has called the attention on a specific financial instrument, the commodity index, that connects them to the futures market where international prices are fixed. To the commodity index make reference the major banks in Wall Street to manage their financial liquidity and that of institutional investors (pension funds, foundations, insurance companies), looking for new investment opportunities after the sub-prime crises. The speculations on both sub-prime and commodities show that, independently from the perspectives of accumulation, the over accumulated capital increases the rent by dispossessing the living conditions of millions of people.Key words: food crisis; financial speculation on food; accumulation by dispossession; agricultural futures; sub-prime; commodities index.

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

10.20944/preprints202005.0218.v1 ◽

2020 ◽

Author(s):

Steffen Volkenand ◽

Günther Filler ◽

Martin Odening

Keyword(s):

Price Discovery ◽

Futures Contracts ◽

Price Dynamics ◽

Discovery Process ◽

Agricultural Commodities ◽

Trading Activity ◽

Agricultural Futures ◽

Price Discovery Process ◽

Qualitative Characteristics

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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Liquidity of China’s agricultural futures market: measurement and cross-market dependence

China Agricultural Economic Review ◽

10.1108/caer-05-2021-0099 ◽

2022 ◽

Vol ahead-of-print (ahead-of-print) ◽

Author(s):

Yuanyuan Xu ◽

Jian Li ◽

Linjie Wang ◽

Chongguang Li

Keyword(s):

Futures Markets ◽

Low Frequency ◽

Futures Market ◽

Market Liquidity ◽

Contagion Effect ◽

Short Term ◽

Seminal Paper ◽

Content Type ◽

Agricultural Futures

PurposeThis paper aims to present the first empirical liquidity measurement of China’s agricultural futures markets and study time-varying liquidity dependence across markets.Design/methodology/approachBased on both high- and low-frequency trading data of soybean and corn, this paper evaluates short-term liquidity adjustment in Chinese agricultural futures market measured by liquidity benchmark and long-term liquidity development measured by liquidity proxies.FindingsBy constructing comparisons, the authors identify the seminal paper of Fong, Holden and Trzcinka (2017) as the best low-frequency liquidity proxy in China’s agricultural futures market and capture similar historical patterns of the liquidity in soybean and corn markets. The authors further employ Copula-generalized autoregressive conditional heteroskedasticity models to investigate liquidity dependence between soybean and corn futures markets. Results show that cross-market liquidity dependence tends to be dynamic and asymmetric (in upper versus lower tails). The liquidity dependence becomes stronger when these markets experience negative shocks than positive shocks, indicating a concern on the contagion effect of liquidity risk under negative financial situations.Originality/valueThe findings of this study provide useful information on the dynamic evolution of liquidity pattern and cross-market dependence of fastest-growing agricultural futures in the largest emerging economy.

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Assessing the functional efficiency of agricultural futures markets in China

China Agricultural Economic Review ◽

10.1108/caer-03-2018-0056 ◽

2019 ◽

Vol 11 (2) ◽

pp. 431-442

Author(s):

Ju Ronghua ◽

Yang Zhiling

Keyword(s):

Futures Markets ◽

Futures Market ◽

Market Liquidity ◽

Content Type ◽

Data Services ◽

Futures Contract ◽

Functional Efficiency ◽

The Social ◽

Agricultural Futures ◽

Loss Index

Purpose The purpose of this paper is to quantitatively analyse the changes in the functional efficiency of the six Chinese agricultural futures markets and compare the relative behaviour of different futures markets. In addition, this paper analyses the causes of differences in the functional efficiency of agricultural futures markets and advances policy suggestions. Design/methodology/approach The method used in this paper is the social loss index proposed by Stein (1981, 1986). This method can quantitatively measure the functional efficiency of agricultural futures markets from the perspective of social welfare. The indicator is calculated for the 2009–2017 period and for several sub-periods. The data are from the CSMAR research data services in China. Findings Preliminary results suggest that the longer it takes for an agricultural futures contract to reach maturity, the lower the functional efficiency of its market. Second, the functional efficiency of the agricultural futures markets in China is improved except for that of the wheat futures market. Finally, the corn futures market is most efficient probably due to the progress of marketization, while the strong wheat futures market is most inefficient probably due to the decrease in futures market liquidity. Originality/value This paper uses a more reasonable method to study the functional efficiency of Chinese agricultural futures markets and then analyses the causes of differences in the functional efficiency of agricultural futures markets.

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Analysis of the Economic Potential for a Mercosur Rice Futures Market

Sociedade Contabilidade e Gestão ◽

10.21446/scg_ufrj.v10i2.13351 ◽

2015 ◽

Vol 10 (2) ◽

Author(s):

Waldemar Souza ◽

João Martines Filho ◽

Claudio Zancan ◽

Antonio C. S. Costa ◽

Andreza G. A. Queiróz

Keyword(s):

Futures Market ◽

Economic Benefits ◽

Price Dynamics ◽

Basis Risk ◽

Futures Contract ◽

Price Series ◽

Rough Rice ◽

Commodity Futures Markets ◽

Rice Price ◽

Rice Prices

World rice production reached 488.4 thousand tons, in 2012. Asian countries are the world’s largest rice producers, followed by Latinamerica, particularly Brazil, where rice is a basic food item. In spite of the clear economic benefits bestowed by commodity futures markets, neither Asia nor Mercosur have implemented a regional rice futures market. In sum, we propose to investigate the feasibility of a Brazilian rice futures contract to serve the Mercosur region by estimating Mercosur rice price dynamics and analyze basis risk and hedging effectiveness for rice market agents in the region, in a simulation framework using a hypothetical regional contract price. Sample data and period was non-probabilistic, for accessibility and convenience. Mercosur rice price dynamics expressed Argentina and Uruguay rice prices moving in synchrony. Brazil rice prices were on lower levels. Also, all three pairs of rice price series are cointegrated, with one cointegrating equation. Again, results can be largely attributed to the different price data used, in Brazil was rough rice, while in Uruguay and Argentina milled white rice with 5%. Despite that, there are preliminary evidences that a Mercosur rice futures market could be feasible.

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