Price discovery dynamics in European agricultural markets

Price discovery dynamics in European agricultural markets

This article examines the influence of European agricultural futures contracts on price discovery during periods of price turmoil and rising trading activity. We use a hand‐collected data set of spot and futures prices for canola, wheat, and corn and show that the impact of the futures markets was h...

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Bibliographic Details
Published in:The journal of futures markets Vol. 38; no. 5; pp. 549 - 562
Main Authors: Adämmer, Philipp, Bohl, Martin T.
Format: Journal Article
Language:English
Published: Hoboken Wiley Periodicals Inc 01-05-2018
Subjects:
Agriculture
common factor weights
Corn
Discovery
european agricultural markets
Futures market
Futures trading
price discovery
Prices
time‐varying VECM
Trading
Wheat
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Summary:This article examines the influence of European agricultural futures contracts on price discovery during periods of price turmoil and rising trading activity. We use a hand‐collected data set of spot and futures prices for canola, wheat, and corn and show that the impact of the futures markets was high during the first period of price spikes (2007 to 2009) but lower during the second one (2010 to 2013). These results are noteworthy as more trading activity in futures markets did not lead to a higher influence on spot prices.
ISSN:0270-7314
1096-9934
DOI:10.1002/fut.21891