T. Randall Fortenbery is an Assistant Professor in the Department o Agricultural f Economics, University o Wisconsin, Madison. Hector 0. Zapata is an Associate f Professor in the Department o Agricultural Economics and Agricultural Business, f Louisiana State University, Baton Rouge. The Journal of Futures Markets, Vol. 13, No. 8, 921-932 (1993) 0 1993 by John Wiley & Sons, Inc. CCC 0270-7314/93/080921-12 hypothesis can provide insight into the relative functions and performance of futures and cash markets of storables versus nonstorables. The primary objective of this research is to build on previous literature by examining the relationships of cash and futures markets for storable commodities. This is done using the Chicago Board of Trade (CBOT) corn and soybean futures markets, and two cash markets for each commodity. By utilizing daily data over an extended period, this study investigates the extent to which cointegration between markets is consistent over time. Following the most recent developments in cointegration, a full information maximum likelihood approach is adopted for estimation. In addition, when there is evidence of market cointegration, a test is performed to determine whether the flow of information between markets is unidirectional or bidirectional. The results measure the extent of
The Journal of Futures Markets – Wiley
Published: Dec 1, 1993
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