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

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.

A Cointegration Analysis of the Nordic Roundwood Markets

The integration of the Nordic timber markets has been analysed to provide market information to various decision-makers, e.g., climate and industrial policies and investment decisions. This study addresses the interlinkage between Nordic (Sweden, Norway and Finland) roundwood markets (Scots pine (Pinus sylvestris L.)) and Norway spruce ((Picea abies L.) sawlogs and pulpwood). In total, eleven markets were analysed using quarterly data over the period 2006Q1–2017Q4 where various unit root and stationary tests were performed together with Johansen’s cointegration test. In addition, directional causality analyses between the integrated markets were also performed. The results show that the law-of-one-price (LOP) hypothesis can be rejected for most of the studied markets and that no individual market emerges as the price-leader. Only the Swedish and Norwegian pine sawlog markets are integrated suggesting a single market for both countries. Price affecting national and forest-related policies as well as investments in the forestry sector, forest industries, bioenergy sector and other forest product using sectors, will not disperse into a larger international market structure; instead, the price effect will be national and more likely have a more profound effect.

Market Integration in the International Market of Soybeans: Are GM Soy and Non-GM Soy Markets Integrated?

This paper aims to study market integration in the international trade of soybeans from 1999 to 2019. The hypothesis is that the market remained integrated between genetically modified (GM) and non-GM soy, even after stringent regulations against GM soy in major importers starting in 1999. Using FOB prices from major exporters of GM soy (USA and Argentina) and non-GM soy (Brazil), I test for market integration with cointegration analysis and Granger causality tests. All tests show that the market between all three exporters remained integrated throughout the sample period. Furthermore, Granger causality tests show that USA remains the sole price leader. Short run elasticities for reactions to American price changes in Brazil and Argentina are 0.33 and 0.25, respectively. The results validate the Law of One Price and inform policy decisions and forecasts efforts in this valuable commodity.

Integrasi Pasar dan Pembentukan Harga Cabai Merah di Indonesia

<strong>English</strong><br />Red chili is one of the essential horticultural commodities because it is the main cooking spice for the Indonesian people. This paper discusses the integration of the red chili market in Indonesia using monthly price data for the period 2011-2016. Market integration is analyzed using Johansen cointegration models. The Engle-Granger (EG) causality test results show that producer prices and wholesale prices affect consumer prices, there is a one-way causal relationship. Therefore, the causality approach accepts the Law of One Price (LOP) hypothesis of red chili price. The results of the co-integration model show that the market for red chili is well integrated. Furthermore, variance decomposition analysis shows that Medan is the market leader for chili in Indonesia.<br /><br /><br /><strong>Indonesian</strong><br />Cabai merah adalah salah satu komoditas hortikultura yang penting karena merupakan bumbu masak utama bagi masyarakat Indonesia. Makalah ini membahas integrasi pasar cabai merah di Indonesia dengan menggunakan data harga bulanan periode 2011-2016. Integrasi pasar dianalisis dengan menggunakan Johansen kointegrasi model. Hasil uji kausalitas Engle-Granger (EG) menunjukkan bahwa harga produsen dan harga grosir mempengaruhi harga konsumen, ada hubungan kausal satu cara. Oleh karena itu, pendekatan kausalitas menerima hipotesis Hukum Satu Harga (LOP) komoditas cabai merah. Hasil dari model co-integration menunjukkan bahwa pasar cabai merah terintegrasi dengan baik. Selanjutnya, analisis variance decomposition menunjukkan bahwa Medan adalah pasar acuan (price leader) untuk harga cabai di indonesia.

A theoretical analysis of product versioning in the context of commercial piracy

The study develops a vertically differentiated duopoly model in the presence of commercial piracy with two groups of consumers, a business group and a home group, with the former having higher willingness to pay for the product. A firm producing an original information good sells it with endogenously chosen product quality and acts as a price leader, and the commercial pirate becomes the price follower. There exists a stringent government policy of monitoring commercial piracy, which increases the marginal cost of the pirate. We study and compare the two regimes of no-versioning (selling a single quality product) and product versioning (selling products with different price and quality combinations to different consumer groups). In the versioning regime, depending upon demand and government monitoring parameters, two equilibria are observed. Comparing the original firm?s profit in each of these versioning cases suggests that versioning may or may not be the original firm?s optimal strategy in the presence of commercial piracy. This result is counterintuitive to existing literature on product versioning in the context of enduser piracy.

Analisis Struktur Equation Modelling Studi Kredit Koperasi Pasar Rukun Agawe Santosa Kranggan Provinsi D.I.Yogyakarta

Keberadaan Usaha Mikro Kecil dan Menengah (UMKM) menjadi salah satu pilar utama penggerak perekonomian di Yogyakarta. Imbas perekonomian yang membaik, tampaknya turut mendukung perkembangan UMKM yang menjadi salah satu ciri khas perekonomian di DIY. Namun demikian penyaluran kredit koperasi terhadap UMKM masih rendah hal ini disebabkan beberapa hal yaitu masih terbatasnya informasi berkaitan UMKM, tingginya resiko UMKM dan tingginya bunga kredit yang disebabkan perkoperasian/koperasi belum efisien, target profit yang harus dicapai dan adanya mekanisme price leader dan price follower. Metode penelitian ini diantaranya adalah Metode Sampling, Variabel Penelitian, Teknik Pengumpulan Data dan pengolahan menggunakan Metode Analisa Data (SEM). Hasil penelitian yang telah dilakukan terhadap koperasi RAS bahwa suku bunga berpengaruh pada kredit dengan α = 1%, dimana koefisiennya 0.039 artinya kenaikan satu satuan suku Bunga maka akan berpengaruh 0.039 satuan minat kredit, Informasi berpengaruh pada kredit dengan α = 1%, dimana koefisiennya 0.039 artinya setiap kenaikan satu satuan Informasi maka akan berpengaruh sebesar 0,039 satuan minat kredit, Lokasi berpengaruh pada kredit dengan α = 1%, dimana koefisiennya 0.066 artinya setiap kenaikan satu satuan Lokasi maka akan berpengaruh sebesar 0,066 satuan minat kredit, Jaminan berpengaruh pada kredit dengan α = 1%, dimana koefisiennya 0.059 artinya setiap kenaikan satu satuan Jaminan maka akan berpengaruh sebesar 0,059, Administrasi berpengaruh pada kredit dengan α = 1%, dimana koefisiennya 0.067 artinya setiap kenaikan satu satuan Administrasi maka akan berpengaruh 0.067.

Price discovery and convergence in fragmented securities markets

Purpose – The purpose of this paper is to study price discovery and price convergence in securities trading within a fragmented market environment where stocks are traded on multiple venues. The results provide novel empirical insights questioning the generalizability of the current literature and aim to expand the understanding of price determination in a fragmented market microstructure. Design/methodology/approach – This paper provides an empirical data analysis based on an event study methodology. The authors applied Thomson Reuters Tick History data covering German blue chip stocks listed on multiple venues in 2009 and 2013. Different time aggregations up to one second are applied to provide an in-depth analysis. Findings – The paper empirically discovers a persistent price leader-follower relationship not only during intraday auctions but also in subsequent continuous trading. The authors found that trading on alternative venues instantly dries out in case the dominant market switches to a call auction. In these situations, alternative markets await and adopt the official price signal of the dominant market although prices on alternative venues still indicate a certain extent of price discovery. This phenomenon remains persistent at different levels of market fragmentation, indicating that alternative trading venues fully accept the price leadership role of the dominant market, no matter their own market share. Originality/value – This paper provides an innovative empirical setup to analyze price co-movement and convergence based on high-frequent data. Further, the results provide novel and robust insights into the price determination process in fragmented markets that clarify the role of price follower and price leader.

Stackelberg on the Danube: Games in the Anticommons

We model the tragedy of the anticommons - the underutilization of a resource in the presence of multiple rights to exclude - as a Stackelberg price-leader game. We show that the equilibrium outcomes when the players move sequentially are more inefficient than when they move simultaneously in a ‘static’ version of the game. The results have important implications for the design of modern regulatory institutions, including the appointment of ‘super-bureaucrats’ or regulatory ‘czars’, the emergence of so-called patent trolls, tribal toll-collectors on the road from Pakistan to Afghanistan, climbing Mt. Everest, rent seeking contests, and antitrust law enforcement.