scholarly journals An Experimental Economics Approach to Analyzing Price Discovery in Forward and Spot Markets

1997 ◽  
Vol 29 (2) ◽  
pp. 327-336 ◽  
Author(s):  
Joseph L. Krogmeier ◽  
Dale J. Menkhaus ◽  
Owen R. Phillips ◽  
John D. Schmitz
Keyword(s):  
Experimental Economics ◽  
Laboratory Experiments ◽  
Price Discovery ◽  
Spot Market ◽  
Spot Markets ◽  
Forward Markets ◽  
Forward Market ◽  
Pricing Behavior ◽  
The Difference ◽  
Supply Schedule

AbstractLaboratory experiments are used to generate data that facilitate investigation of pricing behavior in forward and spot markets. Results suggest a tendency for prices in a spot market to converge to levels higher than those in a forward market. The difference in these market environments is the supply schedule. Buyers in a spot market are aware that supply is inelastic and become relatively aggressive bidders. Forward markets have a relatively elastic supply schedule and buyers fare better. This may motivate firms to promote forward markets and/or vertically integrate in the procurement of inputs.

scholarly journals The Impact of Restrictive Measures on the Price Discovery Function of Stock Index Futures – Evidence From CSI 500 Stock Index Futures

2018 ◽  
Vol 9 (4) ◽  
pp. 117
Author(s):  
Maoguo Wu ◽  
Zhehao Zhu
Keyword(s):  
Price Discovery ◽  
Spot Market ◽  
Stock Index ◽  
Stock Index Futures ◽  
Future Market ◽  
Index Futures ◽  
The Future ◽  
The Difference ◽  
Restrictive Measures ◽  
The Impact

Restrictive measures implemented by governments have a great impact on the price discovery function of stock index futures. This study compares the price discovery function of CSI 500 stock index futures and CSI 500 stock index before and after the implementation of restrictive measures based on the reaction speed to new information, the price ratio of new information and the price contribution of both future market and spot market. It also analyzes the difference between the price discovery function of the future market and that of the spot market and thus proposes policy implications accordingly.Utilizing data of CSI 500 stock index futures in the period of the stock market crash, this study compares the price discovery function before and after the implementation of restrictive measures. By means of the VECM model and common factor analysis, it further investigates the difference in the price contribution of the two markets. Contributing to existing literature on the relationship between the future market and the spot market, this study explores the change in the price contribution of the two markets and therein studies the impact of restrictive measures on the price discovery function. Empirical evidence finds that before the implementation of restrictive measures, the price discovery function worked more efficiently, while, however, after the implementation of restrictive measures, the price discovery function did not work. Hence, stock index futures do assist in the price discovery of the spot market. In some special time periods, however, due to the impact of restrictive policies, the price contribution of the spot market exceeded that of the future market, implying that the price discovery function of the CSI 500 stock index future market is unstable.

scholarly journals Relationship of Causality Between Spot And Futures Markets of Borsa Istanbul Index 30 and Dow Jones Industrial Average

2019 ◽  
Author(s):  
Letife Özdemir ◽  
Ercan Özen ◽  
Simon Grima
Keyword(s):  
Futures Markets ◽  
Price Discovery ◽  
Emerging Market ◽  
Spot Market ◽  
Spot Markets ◽  
Regression Equations ◽  
International Level ◽  
Causality Test ◽  
Futures Contract ◽  
Causality Relationship

Futures markets are mainly used as a tool for price discovery and for risk management on the spot markets and enable diversification for international portfolio investments. With this study we aim (1) to investigate the causality relationship between futures markets and spot market and (2) to examine the causality relationship between futures markets and spot markets in different countries. We are interested in both the futures markets - spot market relations and the interactions between the markets at international level. For variables we used the the BIST30 spot index and BIST30 futures contract representing the Borsa Istanbul market and the Dow-Jones 30 index and Dow-Jones 30 futures contract, which are the most important indices representing the US markets. Daily closing price data for the period between 2nd January, 2009 and 18th June, 2018 were analyzed using correlation, unit root test, causality test and regression equations. The results of the study show that the futures markets continue their price discovery role for both the spot markets and futures markets and are influential on other futures and spot markets at international level. These findings are important for investors wanting to invest in Turkey and in similarly considered emerging market economies. It will help investors take informed decisions by providing them with a more efficient price estimations utilizing the futures markets.

scholarly journals Supply and Demand Risks in Laboratory Forward and Spot Markets: Implications for Agriculture

2000 ◽  
Vol 32 (1) ◽  
pp. 159-173 ◽  
Author(s):  
Dale J. Menkhaus ◽  
Chris T. Bastian ◽  
Owen R. Phillips ◽  
Patrick D. O'Neill
Keyword(s):  
Supply And Demand ◽  
Experimental Methods ◽  
Spot Market ◽  
Spot Markets ◽  
Market Institutions ◽  
Equilibrium Outcome ◽  
Market Outcomes ◽  
Forward Market ◽  
Total Surplus ◽  
Forward Trading

AbstractLaboratory experimental methods are used to investigate the impacts of supply and/or demand risks on prices, quantities traded, and earnings within forward and spot market institutions. Random demand and/or supply shifts can be as much as 25 percent of the expected equilibrium outcome. Nevertheless, results suggest that the spot or forward trading institution itself has a greater influence on market outcomes than the presence of risk within the trading institution. Sellers tend to have relatively higher earnings in a spot market than buyers, regardless of the risk. Total surplus, however, generally is greater in a forward market.

scholarly journals ANALYSIS OF SOYBEAN TRADE STRATEGIES WITH FORWARD CONTRACTS ON THE CHICAGO STOCK EXCHANGE AND ON THE SPOT MARKET IN CASCAVEL, BRAZIL

2019 ◽  
Vol 12 (4) ◽  
pp. 1487
Author(s):  
Odilon Felipe Tavares Aguiar ◽  
Jonathan Dias Ferreira
Keyword(s):  
Stock Exchange ◽  
Spot Market ◽  
Spot Price ◽  
Spot Markets ◽  
Forward Contracts ◽  
Spot Prices ◽  
Forward Markets ◽  
Market Risks ◽  
The Moment ◽  
Chicago Board Of Trade

In the wake of frequent variables that interfere with the agricultural market, rural agents (producers) suffer liabilities due to their decisions, especially at the moment of commercialization. The forward market is precisely a strategy that may reduce the risks in oscillating prices of commodities and makes way towards the future formation of prices. Current paper compares the commercialization of soybeans in the forward and spot markets in terms of prices practiced between the harvest years 2011/2012 and 2016/2017. Data provided by the Chicago Board of Trade (CBOT) were used as reference for forward contracts traded in September with maturation in January and spot prices practiced in January retrieved from data from Coopavel in Cascavel PR Brazil. Forward contracts traded in September with maturity in January had a better performance when compared to January spot prices for harvests 2011/2012, 2012/2013, 2013/2014. Due to fluctuations in weather and market trends, they were the factors that weighed most on harvests 2014/2015, 2015/2016 and 2016/2017 for better prices on most of the maturities for January on the spot market. Results show that, although spot price was better in certain periods, the marketing strategy on forward markets is highly interesting since the producer can employ profits and have guarantees against market risks

Observation and Experimentation

2018 ◽  
Author(s):  
Massimiliano Di Ventra
Keyword(s):  
Laboratory Experiments ◽  
The Difference

This chapter expands on the previous one on the role of experiments in Science. It explains the difference between observations of phenomena and controlled laboratory experiments.

Does Commodity Derivatives Function Effectively? A lengthy Discussion

2021 ◽  
pp. 227797522098574
Author(s):  
Bhabani Sankar Rout ◽  
Nupur Moni Das ◽  
K. Chandrasekhara Rao
Keyword(s):  
Price Discovery ◽  
Spot Market ◽  
Futures Market ◽  
The Other ◽  
Volatility Spillover ◽  
Agricultural Commodities ◽  
Commodity Derivatives ◽  
Derivative Market ◽  
Negative Shock ◽  
Lengthy Discussion

The present work has been designed to intensely investigate the capability of the commodity futures market in achieving the aim of price discovery. Further, the downside of the cash and futures market and transfer of the risk to other markets has also been studied using VaR, and Bivariate EGARCH. The findings of the work point that the metal commodity derivative market helps in the efficient discovery of price in the spot market except for nickel. But, in the case of the agricultural commodities, the spot is found to be leading and thus there is no price discovery except turmeric. On the other hand, the volatility spillover is bidirectional for both agri and metal commodities except copper, where volatility spills only from futures to spot. Further, the effect of negative shock informational bias differs from commodity to commodity, irrespective of metal or agriculture.

Male-biased sex ratio in Argulus canadensis Wilson, 1916 (Crustacea: Branchiura) ectoparasitic on sticklebacks

1989 ◽  
Vol 67 (8) ◽  
pp. 2078-2080 ◽  
Author(s):  
Robert Poulin ◽  
Gerard J. FitzGerald
Keyword(s):  
Salt Marsh ◽  
Sex Ratio ◽  
Laboratory Experiments ◽  
Fish Predation ◽  
Reproductive Behaviour ◽  
Egg Deposition ◽  
Alternative Hypotheses ◽  
Biased Sex Ratio ◽  
The Difference ◽  
Fish Hosts

Females of the ectoparasitic crustacean Argulus canadensis must leave their fish hosts at least temporarily to deposit their eggs on the substrate. To test the hypothesis that this difference in reproductive behaviour between the two sexes could result in male-biased sex ratios on their stickleback hosts, we sampled sticklebacks in tide pools of a Quebec salt marsh from early July to early September 1986. During this period, fish harboured significantly more male than female A. canadensis. Laboratory experiments were done to test two alternative hypotheses offered to explain this biased sex ratio. The first hypothesis was that male A. canadensis were more successful than females in attacking their stickleback hosts; however, we found no differences in attack success on their hosts between the two parasite sexes. The second hypothesis was that sticklebacks ate more female than male A. canadensis. Although males were less vulnerable to fish predation than females, the difference was not significant. We conclude that sexual differences in reproductive behaviour, i.e., egg deposition behaviour of females, can account for the male-biased sex ratio of A. canadensis on sticklebacks.

scholarly journals Equity and Efficiency in Multi-Worker Firms: Insights from Experimental Economics

2011 ◽  
Vol 33 (1) ◽  
Author(s):  
Johannes Abeler ◽  
Steffen Altmann ◽  
Sebastian J. Goerg ◽  
Matthias Wibral
Keyword(s):  
Experimental Economics ◽  
Laboratory Experiments ◽  
Social Preferences ◽  
Pay For Performance ◽  
Incomplete Contracts ◽  
Work Environments ◽  
Workplace Behavior ◽  
Equity And Efficiency ◽  
The Impact ◽  
Wage Schemes

AbstractIn this article, we discuss recent evidence from experimental economics on the impact of social preferences on workplace behavior. We focus on situations in which a single employer interacts with multiple employees. Traditionally, equity and efficiency have been seen as opposing aims in such work environments: individual pay-for-performance wage schemes maximize of efficiency but might lead to inequitable outcomes. We present findings from laboratory experiments that show under which circumstances partially incomplete contracts can create equitable work environments while at the same time reaching surprisingly efficient outcomes.

scholarly journals El debate sobre la validez externa en economía experimental

2019 ◽  
Vol 23 (2) ◽  
pp. 309-321
Author(s):  
Rodrigo Moro ◽  
Marcelo Auday
Keyword(s):  
Experimental Economics ◽  
Empirical Evidence ◽  
External Validity ◽  
Different Types ◽  
The Difference ◽  
Interpretation Of Results

We focus on the debate on the external validity of lab results in the area of experimental economics. More specifically, we focus on Colin Camerer’s and John List’s views, who postulate opposite positions on the issue. The problem is that they partially analyze the same empirical evidence and draw from it opposite conclusions. The goal of this work is to analyze such empirical evidence to try to explain the difference in interpretation of results. We argue that the dispute in interpretations can be expressed in terms of difference of criteria used to determine external validity. From our analysis we propose the formulation of different types of external validity.

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