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Threshold Effects In Food And Agribusiness Stock Price Markets

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  • Wilson, Christine A.
  • Featherstone, Allen M.
  • Kastens, Terry L.

Abstract

This study investigates the dynamics of agribusiness stock returns and the market return for 22 firms in a switching-regression framework. Threshold levels and regression slopes are estimated and tested. Results indicate how parameters differ for alternative regimes, at what levels dynamic adjustments take place, and the adjustment time involved.

Suggested Citation

  • Wilson, Christine A. & Featherstone, Allen M. & Kastens, Terry L., 2001. "Threshold Effects In Food And Agribusiness Stock Price Markets," 2001 Annual meeting, August 5-8, Chicago, IL 20591, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    • Handle: RePEc:ags:aaea01:20591
    DOI: 10.22004/ag.econ.20591
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    References listed on IDEAS

    as
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