Price Discovery and Market Reflexivity in Agricultural Futures Contracts with Different Maturities
| Autor: | Martin Odening, Steffen Volkenand, Günther Filler |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2020 |
| Předmět: |
Agricultural commodity
Financial economics Strategy and Management Economics Econometrics and Finance (miscellaneous) lcsh:HG8011-9999 Price discovery econometrics_statistics lcsh:Insurance Accounting Reflexivity 0502 economics and business Economics ddc:330 050207 economics Hawkes process 050208 finance price discovery business.industry 330 Wirtschaft G14 05 social sciences agricultural commodity futures Agriculture C49 market reflexivity business Futures contract |
| Zdroj: | Risks Volume 8 Issue 3 Risks, Vol 8, Iss 75, p 75 (2020) |
| Popis: | 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. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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