Asymmetric spot-futures price adjustments in grain markets

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期刊论文

作者：

Wu, Zhige*;Maynard, Alex;Weersink, Alfons;Hailu, Getu

通讯作者：

Wu, Zhige

作者机构：

[Wu, Zhige] Cent South Univ Forestry & Technol, Bangor Coll, 498 Shaoshan Rd South, Changsha 410004, Hunan, Peoples R China.

[Maynard, Alex] Univ Guelph, Dept Econ & Finance, Guelph, ON, Canada.

[Maynard, Alex] Univ Toronto, Fac Forestry, Toronto, ON, Canada.

[Weersink, Alfons; Hailu, Getu] Univ Guelph, Dept Food Agr & Resource Econ, Guelph, ON, Canada.

[Weersink, Alfons] Univ Western Australia, Sch Agr & Resource Econ, Crawley, Australia.

通讯机构：

[Wu, Zhige] C

Cent South Univ Forestry & Technol, Bangor Coll, 498 Shaoshan Rd South, Changsha 410004, Hunan, Peoples R China.

语种：

英文

期刊：

Journal of Futures Markets

ISSN：

0270-7314

年：

2018

卷：

期：

页码：

1549-1564

DOI：

10.1002/fut.21966

基金类别：

Ontario Ministry of Agriculture Food and Rural Affairs (OMAFRA); Central South University of Forestry Technology [2017QZ005]; Social Science Youth Award; Social Sciences and Humanities Research Council of CanadaSocial Sciences and Humanities Research Council of Canada (SSHRC) [410-2010-0074, 435-2017-0582]; China Scholarship Council (CSC)China Scholarship Council

机构署名：

本校为第一且通讯机构

院系归属：

班戈学院

摘要：

Recent volatility in food prices in the grain market has generated much interest among agricultural market participants. This study examines the nonlinear dynamic relationship between spot and futures prices in grain markets. The empirical results provide strong evidence of price asymmetries. The corn spot price adjusts faster to futures price increases than futures price decreases, whereas the soybean spot price adjusts faster to futures price decreases than futures price increases. Although this asymmetric adjustment is found for a single market in Ontario, Canada, the results may also provi...

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