Hostname: page-component-586b7cd67f-r5fsc Total loading time: 0 Render date: 2024-11-29T08:59:58.112Z Has data issue: false hasContentIssue false
  • English
  • Français

Price Dependence and Futures Price Theory

Published online by Cambridge University Press:  10 May 2017

Steven C. Blank
Steven C. Blank*
Affiliation:
Department of Agricultural Economics, University of Arizona
Get access

Abstract

A new interpretation of commodity futures price theory is evaluated because, currently, many products exhibit price behavior which cannot be explained with existing theory. A method for classifying products according to the particular price theory relevant to them is provided. The classification method uses the futures price dependence enforced by arbitrage opportunities in spot markets as its base. The futures markets for beef cattle and corn are used as examples.

Type
Articles
Information
Northeastern Journal of Agricultural and Resource Economics , Volume 14 , Issue 2 , October 1985 , pp. 169 - 176
Copyright
Copyright © 1985 Northeastern Agricultural and Resource Economics Association 

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

Barton, B. and Tomek, W., “Performance of the Live Cattle Futures Contract: Basis and Forward-Pricing Behavior,” Cornell University Ag Econ Research No. 84-3, 1984.Google Scholar
Bear, R., “Risk and Return Patterns on Overnight Holdings of Livestock Futures,” Commodity Markets and Futures Prices, Leuthold, R. (ed), Chicago Mercantile Exchange, Chicago, pp. 13–23, 1979.Google Scholar
Cox, C., “Futures Trading and Market Information,” Journal of Political Economy 84 (1976):1215–1237.Google Scholar
Ehrich, R. L., “Cash-Futures Price Relationships for Live Beef Cattle,” American Journal of Agricultural Economics 51 (1969):26–49.Google Scholar
Erickson, S. P., Empirical Analysis of Price Relationships in the Live Beef Cattle Futures Market—Implications for Primary Producers, unpublished Ph.D. dissertation, University of Illinois at Urbana-Champaign, 1977.Google Scholar
Feder, G., Just, R. and Schmitz, A., “Futures Markets and the Theory of the Firm Under Price Uncertainty,” The Quarterly Journal of Economics 95 (1980):317–38.Google Scholar
Goss, B., “Aspects of Hedging Theory,” Australian Journal of Agricultural Economics 24 (1980):210–233.Google Scholar
Hayenga, M. and DiPietre, D., “Hedging Wholesale Meat Prices: Analysis of Basis Risk,” J. of Futures Markets 2 (1982):131–140.Google Scholar
Hayenga, M., et al., “Profitable Hedging Opportunities and Risk Premiums for Producers in Live Cattle and Live Hog Futures Markets,” J. of Futures Markets 4 (1984):141–154.Google Scholar
Hieronymus, T., Economics of Futures Trading for Commercial and Personal Profit, 2nd Edn, Commodity Research Bureau, New York, 1977.Google Scholar
Jain, A., Commodity Futures Markets and the Law of One Price, Michigan International Business Studies, No. 16, Michigan, 1980.Google Scholar
Just, R. and Rausser, G., “Commodity Price Forecasting with Large-scale Econometric Models and the Futures Market,” American Journal of Agricultural Economics 63 (1981):197–208.Google Scholar
Kofi, T., “A Framework for Comparing the Efficiency of Futures Markets,” American Journal of Agricultural Economics 55 (1973):584–94.Google Scholar
Kolb, R. and Gay, , “The Performance of Live Cattle Futures as Predictors of Subsequent Spot Prices,” J. of Futures Markets 3 (1983):55–63.Google Scholar
Koppenhaver, C., “The Forward Pricing Efficiency of the Live Cattle Futures Market,” J. of Futures Markets 3 (1983):307–320.Google Scholar
Leuthold, R. M., “The Price Performance on the Futures Market of a Non-storable Commodity: Live Beef Cattle,” American Journal of Agricultural Economics 56 (1974):271–79.Google Scholar
Leuthold, R. M., “An Analysis of the Basis for Live Beef Cattle,” Illinois Agricultural Economics Staff Paper, University of Illinois at Urbana-Champaign, October, 1977.Google Scholar
Leuthold, R. M., “Commercial Use and Speculative Measures of the Livestock Commodity Futures Markets,” J. of Futures Markets 3 (1983):113–135.Google Scholar
Leuthold, R. and Tomek, W., “Developments in the Livestock Futures Literature,” Livestock Futures Research Symposium, Chicago Mercantile Exchange, 1980.Google Scholar
Martin, L. and Garcia, P., “The Price-Forecasting Performance of Futures Markets for Live Cattle and Hogs: A Disaggregated Analysis,” American Journal of Agricultural Economics 63 (1981):209–15.Google Scholar
Miller, S. and Kenyon, D., “Producers’ Utilization of the Fed Cattle Futures Markets,” Staff Paper SP-77-13, Virginia Polytechnic Institute and State University, July, 1977.Google Scholar
Paul, A., Kahl, K. and Tomek, W., Performance of Futures Markets: The Case of Potatoes, Technical Bulletin 1636, United States Department of Agriculture, 1981.Google Scholar
Paul, A. and Wesson, W., “Pricing Feedlot Services Through Cattle Futures,” Agricultural Economics Research 19 (1967):33–45.Google Scholar
Purcell, W., “Effective Hedging of Live Cattle,” Commodities, July 1977, 26–30.Google Scholar
Purcell, W., “A Closer Look at the Long Feeder Cattle Hedge,” Commodities, August 1978, 34–5.Google Scholar
Pyne, J., “The United States Cattle Cycle: A Quantitative Analysis,” unpublished Ph.D. dissertation, University of Hawaii, 1980.Google Scholar
Skadberg, J. M. and Futrell, G. A., “An Economic Appraisal of Futures Trading in Livestock,” American Journal of Agricutural Economics 48 (1966):1485–95.Google Scholar
Tomek, W. and Gray, R., “Temporal Relationships Among Prices on Commodity Futures Markets: Their Allocative and Stabilizing Roles,” American Journal of Agricultural Economics 52 (1970):372–80.Google Scholar
Tomek, W. G. and Robinson, K. L., Agricultural Product Prices, 2nd Edn, Cornell University Press, Ithaca, New York, 1981.Google Scholar