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Estimating the Location of World Wheat Price Determination

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  • Janzen, Joseph P.
  • Adjemian, Michael K.

Abstract

The United States may be losing its leading role in the world wheat market. Rising trading volume in foreign futures markets and shifting shares of world trade are suggested as evidence of this shift, but neither necessitates that futures markets in the United States are any less important for wheat price discovery. This paper uses the Hasbrouck (1995) Information Shares method to estimate the proportion of price discovery occurring in wheat futures markets in Chicago and Paris. Our preliminary results suggest that both markets are important for price discovery, but the Chicago market still leads. The proportion of wheat price discovery in each market remained relative stable over the period 2007-2013.

Suggested Citation

  • Janzen, Joseph P. & Adjemian, Michael K., 2016. "Estimating the Location of World Wheat Price Determination," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts 235838, Agricultural and Applied Economics Association.
    • Handle: RePEc:ags:aaea16:235838
    DOI: 10.22004/ag.econ.235838
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    References listed on IDEAS

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    1. Arnade, Carlos & Hoffman, Linwood, 2015. "The Impact of Price Variability on Cash/Futures Market Relationships: Implications for Market Efficiency and Price Discovery," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 47(4), December.
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    3. Arnade, Carlos & Hoffman, Linwood, 2015. "The Impact Of Price Variability On Cash/Futures Market Relationships: Implications For Market Efficiency And Price Discovery," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 47(4), pages 539-559, November.
    4. Julieta Frank & Philip Garcia, 2010. "Bid-Ask Spreads, Volume, and Volatility: Evidence from Livestock Markets," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 93(1), pages 209-225.
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    6. Martinez, Valeria & Gupta, Paramita & Tse, Yiuman & Kittiakarasakun, Jullavut, 2011. "Electronic versus open outcry trading in agricultural commodities futures markets," Review of Financial Economics, Elsevier, vol. 20(1), pages 28-36, January.
    7. Janzen, Joseph P. & Carter, Colin A. & Smith, Aaron D., 2012. "The Quality of Price Discovery and the Transition to Electronic Trade: The Case of Cotton Futures," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124994, Agricultural and Applied Economics Association.
    8. Georg V. Lehecka & Xiaoyang Wang & Philip Garcia, 2014. "Gone in Ten Minutes: Intraday Evidence of Announcement Effects in the Electronic Corn Futures Market," Applied Economic Perspectives and Policy, Agricultural and Applied Economics Association, vol. 36(3), pages 504-526.
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    Cited by:

    1. Adjemian, Michael K. & Bruno, Valentina & Robe, Michel A. & Wallen, Jonathan, 2017. "What Drives Volatility Expectations in Grain and Oilseed Markets?," 2017 Annual Meeting, July 30-August 1, Chicago, Illinois 258452, Agricultural and Applied Economics Association.

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    Keywords

    Agricultural Finance; Demand and Price Analysis;

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