Looking under the surface: An analysis of iceberg orders in the U.S. agricultural futures markets

2021 ◽  
Author(s):  
Quanbiao Shang ◽  
Teresa Serra ◽  
Philip Garcia ◽  
Mindy Mallory
Keyword(s):  
Futures Markets ◽  
Agricultural Futures ◽  
The U.S

Dynamics of volatility transmission between the U.S. and the Chinese agricultural futures markets

2016 ◽  
Vol 49 (34) ◽  
pp. 3435-3452 ◽  
Author(s):  
Huayun Jiang ◽  
Neda Todorova ◽  
Eduardo Roca ◽  
Jen-Je Su
Keyword(s):  
Futures Markets ◽  
Volatility Transmission ◽  
Agricultural Futures ◽  
The U.S

scholarly journals A Tournament Approach to Price Discovery in the U.S. Cattle Market

2020 ◽  
pp. 1-16
Author(s):  
Jeffrey Wright ◽  
Man-Keun Kim ◽  
Hernan A. Tejeda ◽  
Hwa-Neyon Kim
Keyword(s):  
Cluster Analysis ◽  
Futures Markets ◽  
Hierarchical Cluster ◽  
Correction Model ◽  
Cattle Markets ◽  
Price Leader ◽  
Dynamic Relationships ◽  
Cattle Market ◽  
The U.S

Abstract The dominant market where information is discovered plays the role of price leader providing substantial market information to other markets. This study investigates the dynamic relationships of 30 cattle markets across regions, cattle types, and cash/futures markets. The comparison of many markets, using an error correction model, is accomplished with the introduction of a tournament with a hierarchical cluster analysis, which allows us to conclude that the leading price for the U.S. cattle markets is discovered in the futures markets for both feeder and fed cattle.

Futures Markets and Marketing Firms: The U.S. Soybean‐Processing Industry

1992 ◽  
Vol 74 (3) ◽  
pp. 716-725 ◽  
Author(s):  
Sergio H. Lence ◽  
Dermot J. Hayes ◽  
William H. Meyers
Keyword(s):  
Futures Markets ◽  
Processing Industry ◽  
Soybean Processing ◽  
Marketing Firms ◽  
The U.S

scholarly journals Study of efficiency and information transmission for agricultural futures markets: a comparative analysis between Buenos Aires and Chicago using monthly and daily data

2017 ◽  
Vol 34 (69) ◽  
pp. 3-23
Author(s):  
Jeremías Lachman ◽  
Pablo Jack
Keyword(s):  
Comparative Analysis ◽  
Information Transmission ◽  
Market Efficiency ◽  
Futures Markets ◽  
Buenos Aires ◽  
Relevant Information ◽  
Futures Market ◽  
Daily Data ◽  
Agricultural Futures ◽  
The One

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.

Assessing the relationship between closing prices and trading volume in the US livestock futures markets

2020 ◽  
Vol 37 (3) ◽  
pp. 413-428
Author(s):  
Dimitrios Panagiotou ◽  
Alkistis Tseriki
Keyword(s):  
Trading Volume ◽  
Futures Markets ◽  
Quantile Regressions ◽  
Content Type ◽  
Feeder Cattle ◽  
Daily Data ◽  
The Us ◽  
Volume Relationship ◽  
Agricultural Futures ◽  
The Relationship

Purpose The purpose of this paper is to examine the relationship between closing prices and trading volume in the livestock futures markets of lean hogs, live cattle and feeder cattle. Design/methodology/approach The parametric quantile regressions methodology is used. Daily data between January 1, 2010 and July 31, 2019 were used. Findings Findings suggest that the relationship between the two variables is non-linear. Price-volume relationship is positive (negative) under positive (negative) returns. Furthermore, co-movement is weaker at the lower quantiles and stronger at the higher quantiles. Results are in line with the empirical findings of the price-volume relationship in six agricultural futures markets from the study by Fousekis and Tzaferi (2019). Originality/value This is the first study that uses the parametric quantile regressions method in the livestock futures market, to examine the returns-volume dependence.

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