Price asymmetry in South African futures markets for agricultural commodities
Author
Abstract
Suggested Citation
DOI: 10.22004/ag.econ.31722
Download full text from publisher
References listed on IDEAS
- Townsend, Rob F., 1998. "Econometric Methodology Ii : Strengthening Time Series Analysis," Agrekon, Agricultural Economics Association of South Africa (AEASA), vol. 37(1), pages 1-17, March.
- Bailey, DeeVon & Brorsen, B. Wade, 1989. "Price Asymmetry In Spatial Fed Cattle Markets," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 14(2), pages 1-7, December.
- Barry K. Goodwin & Ted C. Schroeder, 1991. "Cointegration Tests and Spatial Price Linkages in Regional Cattle Markets," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 73(2), pages 452-464.
- Varaporn Punyawadee & Milton S. Boyd & Merle D. Faminow, 1991. "Testing for Asymmetric Pricing in the Alberta Pork Market," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 39(3), pages 493-501, November.
- Kahneman, Daniel & Knetsch, Jack L & Thaler, Richard H, 1990. "Experimental Tests of the Endowment Effect and the Coase Theorem," Journal of Political Economy, University of Chicago Press, vol. 98(6), pages 1325-1348, December.
- Baillie, Richard T & Myers, Robert J, 1991. "Bivariate GARCH Estimation of the Optimal Commodity Futures Hedge," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 6(2), pages 109-124, April-Jun.
- Smidt, Seymour, 1968. "A New Look at the Random Walk Hypothesis," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 3(3), pages 235-261, September.
- A. J. Aulton & C. T. Ennew & A. J. Rayner, 1997. "Efficiency Tests Of Futures Markets For Uk Agricultural Commodities," Journal of Agricultural Economics, Wiley Blackwell, vol. 48(1‐3), pages 408-424, January.
- Rony S. Gravelines & Milton Boyd, 1999. "A Note on Asymmetry in Commodity Futures Markets," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 47(3), pages 321-329, November.
- DeJong, David N. & Nankervis, John C. & Savin, N. E. & Whiteman, Charles H., 1992. "The power problems of unit root test in time series with autoregressive errors," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 323-343.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Phukubje, M.P. & Moholwa, Motlatjo B., 2006. "Testing for weak-form efficiency in South African futures market for wheat and sunflower seeds," Agrekon, Agricultural Economics Association of South Africa (AEASA), vol. 45(2), pages 1-16, June.
- Capps, Oral, Jr. & Sherwell, Pablo, 2005. "Spatial Asymmetry in Farm-Retail Price Transmission Associated with Fluid Milk Products," 2005 Annual meeting, July 24-27, Providence, RI 19316, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Oral Capps & Pablo Sherwell, 2007. "Alternative approaches in detecting asymmetry in farm-retail price transmission of fluid milk," Agribusiness, John Wiley & Sons, Ltd., vol. 23(3), pages 313-331.
- le Goulven, Katell, 1999. "Institutions And Price Transmission In The Vietnamese Hog Market," International Food and Agribusiness Management Review, International Food and Agribusiness Management Association, vol. 2(3-4), pages 1-16.
- Byeong-il, Ahn & Lee, Hyunok, 2015. "Vertical Price Transmission of Perishable Products: The Case of Fresh Fruits in the Western United States," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 40(3), pages 1-20, September.
- Guo, Zhibo & White, Ben & Mugera, Amin, 2013. "Hedge Effectiveness for Western Australia Crops," 2013 Conference (57th), February 5-8, 2013, Sydney, Australia 152154, Australian Agricultural and Resource Economics Society.
- Tsiboe, Francis & Dixon, Bruce L. & Wailes, Eric J., 2016. "Spatial dynamics and determinants of Liberian rice market integration," African Journal of Agricultural and Resource Economics, African Association of Agricultural Economists, vol. 11(3).
- Mkhabela, Thulasizwe S. & Nyhodo, Bonani, 2011. "Farm and Retail Prices in the South African Poultry Industry: Do the Twain Meet?," International Food and Agribusiness Management Review, International Food and Agribusiness Management Association, vol. 14(3), pages 1-20, September.
- Myers, Robert J., 1994. "Time Series Econometrics and Commodity Price Analysis: A Review," Review of Marketing and Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 62(02), pages 1-15, August.
- Blank, Steven C. & Saitone, Tina L. & Sexton, Richard J., 2016. "Calf and Yearling Prices in the Western United States: Spatial, Quality, and Temporal Factors in Satellite Video Auctions," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 41(3), pages 1-23.
- Wolffram Rudolf, 2000. "Identifikation asymmetrischer Preisanpassungsprozesse für integrierte Zeitreihen – Eine Replik," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 220(3), pages 350-357, June.
- P. J. Dawson & A. L. Tiffin & B. White, 2000. "Optimal Hedging Ratios for Wheat and Barley at the LIFFE: A GARCH Approach," Journal of Agricultural Economics, Wiley Blackwell, vol. 51(2), pages 147-161, May.
- Antonioli, Federico & Santeramo, Fabio, 2017. "Vertical Price Transmission in Milk Supply Chain: Market Changes and Asymmetric Dynamics," 2017 Sixth AIEAA Conference, June 15-16, Piacenza, Italy 261256, Italian Association of Agricultural and Applied Economics (AIEAA).
- Tey, (John) Yeong-Sheng, 2009. "Symmetry in farm-retail price transmission: pork in Malaysia," MPRA Paper 16693, University Library of Munich, Germany.
- Stéphane Von Cramon-Taubadel & Jens-Peter Loy, 1998. "Estimation des transmissions de prix asymétriques avec des prix intégrés [Une application au marché mondial du blé]," Économie rurale, Programme National Persée, vol. 243(1), pages 30-39.
- Lindström, Hanna, 2021. "Price transmission for organic and conventional milk products in Sweden," HFI Working Papers 22, Institute of Retail Economics (Handelns Forskningsinstitut).
- Bernard, John C. & Willett, Lois Schertz, 1996. "Asymmetric Price Relationships In The U.S. Broiler Industry," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 28(2), pages 1-11, December.
- Lindström, Hanna, 2021. "Price transmission for organic and conventional milk products in Sweden," Umeå Economic Studies 999, Umeå University, Department of Economics.
- Narinder Pal Singh & Archana Singh, 2017. "Empirical Investigation on Food Inflation and Efficiency Issues in Indian Agri-futures Market," Emerging Economy Studies, International Management Institute, vol. 3(2), pages 156-165, November.
- Chouaib Jouf, 2020. "Asymmetric price transmission along the food marketing chain: A focus on the recent price war," Working Papers hal-04133326, HAL.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ags:agreko:31722. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: AgEcon Search (email available below). General contact details of provider: https://edirc.repec.org/data/aeasaea.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.