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The Distributional Behavior of Futures Price Spreads

Published online by Cambridge University Press:  28 April 2015

Min-Kyoung Kim  and
Raymond M. Leuthold
Min-Kyoung Kim
Affiliation:
T. A. Hieronymous Professor in the Department of Agricultural and Consumer Economics, University of Illinois at Urbana-Champaign
Raymond M. Leuthold
Affiliation:
T. A. Hieronymous Professor in the Department of Agricultural and Consumer Economics, University of Illinois at Urbana-Champaign
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Abstract

The distributional behavior of futures price spreads is examined for four commodities: corn, live cattle, gold and T-bonds. Remarkably different results are found over commodities, time period, and sample size. Actual spread changes for the smaller sample size of gold and T-bonds and for corn produce more normal distributions for weekly than for daily differencing intervals, while all live cattle spreads for actual changes are normally distributed. However, the larger sample size of both gold and T-bonds and the relative spread changes for corn and live cattle do not become more normally distributed under temporal aggregation of the data.

Keywords

cornfutures price spreadsgoldgoodness of fitlive cattlenormality testsspread distributionsT-bonds
Type
Articles
Information
Journal of Agricultural and Applied Economics , Volume 32 , Issue 1 , April 2000 , pp. 73 - 87
Copyright
Copyright © Southern Agricultural Economics Association 2000

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