IDEAS home Printed from https://ideas.repec.org/a/oup/ajagec/v78y1996i3p591-603.html
   My bibliography  Save this article

The Effects of Decision Making on Futures Price Volatility

Author

Listed:
  • David A. Hennessy
  • Thomas I. Wahl

Abstract

Existing literature on commodity futures price volatility emphasizes time to expiration and the resolution of uncertainty. In this paper we stress the supply and demand inflexibilities arising from decision making. A decision made on the supply (demand) side makes future supply (demand) responses less elastic. Therefore, a shock arising after a decision is made is more effective in changing the futures price than a shock before the decision is made. The results support the time-to-maturity hypothesis, but do not conflict with the state variable hypotheses of futures price volatility. Evidence supporting the impacts of inflexibilities are presented for corn, soybean, and wheat contracts. Copyright 1996, Oxford University Press.

Suggested Citation

  • David A. Hennessy & Thomas I. Wahl, 1996. "The Effects of Decision Making on Futures Price Volatility," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 78(3), pages 591-603.
    • Handle: RePEc:oup:ajagec:v:78:y:1996:i:3:p:591-603
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.2307/1243277
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Calum G. Turvey, 2010. "Biography," Agricultural Finance Review, Emerald Group Publishing Limited, vol. 70(1), pages 5-20, May.
    2. Matthew Stuart & Cindy Yu & David A. Hennessy, 2023. "The Impact of Stocks on Correlations between Crop Yields and Prices and on Revenue Insurance Premiums using Semiparametric Quantile Regression," Papers 2308.11805, arXiv.org, revised Jun 2024.
    3. Karali, Berna, 2012. "Do USDA Announcements Affect Comovements Across Commodity Futures Returns?," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 37(1), pages 1-21, April.
    4. Goodwin, Barry K. & Roberts, Matthew C. & Coble, Keith H., 2000. "Measurement Of Price Risk In Revenue Insurance: Implications Of Distributional Assumptions," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 25(1), pages 1-20, July.
    5. repec:ags:jrapmc:122315 is not listed on IDEAS
    6. Berna Karali & Jeffrey H. Dorfman & Walter N. Thurman, 2010. "Delivery horizon and grain market volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 30(9), pages 846-873, September.
    7. Nanying Wang & Jack E. Houston, 2016. "The Co-Movement between Non-GM and GM Soybean Prices in China: Evidence from Dalian Futures Market (2004-2014)," Applied Economics and Finance, Redfame publishing, vol. 3(4), pages 37-47, November.
    8. Wang, Nanying & Houston, Jack, 2015. "The Comovement between Non-GM and GM Soybean Price in China: Evidence from Dalian Futures Market," 2015 Annual Meeting, January 31-February 3, 2015, Atlanta, Georgia 196775, Southern Agricultural Economics Association.
    9. Choe, Kyoungin & Goodwin, Barry K., 2024. "The Informational Role of Trading Volume in Thinly Traded Options Markets," 2024 Annual Meeting, July 28-30, New Orleans, LA 343732, Agricultural and Applied Economics Association.
    10. Wang, Nanying & Houston, Jack E., 2015. "The Co-movement between Non-GM and GM Soybean Price in China: Evidence from China Futures Market," 2015 Conference, August 9-14, 2015, Milan, Italy 211914, International Association of Agricultural Economists.
    11. R. Xie & O. Isengildina-Massa & G. P. Dwyer & J. L. Sharp, 2016. "The impact of public and semi-public information on cotton futures market," Applied Economics, Taylor & Francis Journals, vol. 48(36), pages 3416-3431, August.
    12. Nakamura, Masao & Nakashima, Tomoaki & Niimura, Takahide, 2006. "Electricity markets volatility: estimates, regularities and risk management applications," Energy Policy, Elsevier, vol. 34(14), pages 1736-1749, September.
    13. Calum G. Turvey & Jeffrey R. Stokes, 2008. "Market Structure and the Value of Agricultural Contingent Claims," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 56(1), pages 79-94, March.
    14. Madarassy Akin, Rita, 2003. "Maturity Effects in Futures Markets: Evidence from Eleven Financial Futures Markets," Santa Cruz Center for International Economics, Working Paper Series qt1n04g31b, Center for International Economics, UC Santa Cruz.
    15. Madarassy Akin, Rita, 2003. "Maturity Effects in Futures Markets: Evidence from Eleven Financial Futures Markets," Santa Cruz Department of Economics, Working Paper Series qt1n04g31b, Department of Economics, UC Santa Cruz.
    16. Tomek, William G. & Peterson, Hikaru Hanawa, 2000. "Risk Management In Agricultural Markets: A Survey," 2000 Producer Marketing and Risk Management Conference, January 13-14, Orlando, FL 19580, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    17. Aliaga Lordemann, Javier & Mora-García, Claudio & Mulder, Nanno, 2021. "Speculation and price volatility in the coffee market," Documentos de Proyectos 46923, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL).

    More about this item

    Statistics

    Access and download statistics

    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:oup:ajagec:v:78:y:1996:i:3:p:591-603. 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.

    We have no bibliographic references for this item. You can help adding them by using 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: Oxford University Press (email available below). General contact details of provider: https://edirc.repec.org/data/aaeaaea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.