Abstract
In this study, we empirically analyze the contribution of futures markets to the price discovery process for seven agricultural commodities using the generalized information share proposed by Lien and Shrestha (2014) and component share based on the permanent-temporary decomposition proposed by Gonzalo and Granger (1995). We find that most of the price discovery takes place in the futures markets with the exception of cocoa. Our results show that futures markets play an important role in price discovery process. These results are important to academicians, practitioners, policymakers as well as business leaders.
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This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License
Recommended Citation
Shrestha, Keshab; Subramaniam, Ravichandran; and Thiyagarajan, Thangarajah
(2020)
"Price Discovery in Agricultural Markets,"
American Business Review: Vol. 23:
No.
1, Article 5.
DOI: https://doi.org/10.37625/abr.23.1.53-69
Available at:
https://digitalcommons.newhaven.edu/americanbusinessreview/vol23/iss1/5
DOI
https://doi.org/10.37625/abr.23.1.53-69
