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Price information in Producer markets: An evaluation of futures and spot cotton price relationships in the southwest region using cointegration

Author

Listed:
  • Darren Hudson

    (Texas Tech University, Lubbock, TX 79409)

  • Emmett Elam

    (Texas Tech University, Lubbock, TX 79409)

  • Don Ethridge

    (Texas Tech University, Lubbock, TX 79409)

  • Jeff Brown

    (Texas Tech University, Lubbock, TX 79409)

Abstract

Producer spot (cash) prices of cotton from the Southwest region were compared to futures prices for cotton to examine the cash|futures price relationship using the cointegration technique. The results showed that the cash producer price and the futures price were not consistently related. The futures and cash prices were cointegrated in 2 of 4 years, while not cointegrated in the other 2 years. The inconsistency indicates that the reliability of the futures price as a source of price information to producers of cotton in the Southwest is questionable. This relationship may be arising from quality uncertainty in the producer market. © 1996 John Wiley & Sons, Inc.

Suggested Citation

  • Darren Hudson & Emmett Elam & Don Ethridge & Jeff Brown, 1996. "Price information in Producer markets: An evaluation of futures and spot cotton price relationships in the southwest region using cointegration," Agribusiness, John Wiley & Sons, Ltd., vol. 12(4), pages 363-369.
    • Handle: RePEc:wly:agribz:v:12:y:1996:i:4:p:363-369
    DOI: 10.1002/(SICI)1520-6297(199607/08)12:4<363::AID-AGR6>3.0.CO;2-X
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    References listed on IDEAS

    as
    1. William G. Tomek, 1980. "Price Behavior on a Declining Terminal Market," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 62(3), pages 434-444.
    2. Brown, Jeff E. & Ethridge, Don E. & Hudson, Darren & Engels, Carlos, 1995. "An Automated Econometric Approach For Estimating And Reporting Daily Cotton Market Prices," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 27(2), pages 1-14, December.
    3. Granger, C. W. J., 1980. "Testing for causality : A personal viewpoint," Journal of Economic Dynamics and Control, Elsevier, vol. 2(1), pages 329-352, May.
    4. MacDonald, Ronald & Taylor, Mark P, 1988. "Metals Prices, Efficiency and Cointegration: Some Evidence from the London Metal Exchange," Bulletin of Economic Research, Wiley Blackwell, vol. 40(3), pages 235-239, June.
    5. Darren Hudson & Don Ethridge & Jeff Brown, 1996. "Producer prices in cotton markets: Evaluation of reported price information accuracy," Agribusiness, John Wiley & Sons, Ltd., vol. 12(4), pages 353-362.
    6. Brorsen, B. Wade & Bailey, DeeVon & Richardson, James W., 1984. "Investigation Of Price Discovery And Efficiency For Cash And Futures Cotton Prices," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 9(1), pages 1-7, July.
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    Cited by:

    1. Jerry Coakley & Jian Dollery & Neil Kellard, 2011. "Long memory and structural breaks in commodity futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 31(11), pages 1076-1113, November.
    2. Fadiga, Mohamadou L. & Mohanty, Samarendu & Chaudhary, Jagadanand, 2003. "Price Dynamics In The U.S. Fiber Markets:Its Implications For Cotton Industry," 2003 Annual Meeting, February 1-5, 2003, Mobile, Alabama 35071, Southern Agricultural Economics Association.
    3. Zapata, Hector O. & Gil, Jose M., 1999. "Cointegration and causality in international agricultural economics research," Agricultural Economics, Blackwell, vol. 20(1), pages 1-9, January.

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