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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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    4. Hasbrouck, Joel, 2007. "Empirical Market Microstructure: The Institutions, Economics, and Econometrics of Securities Trading," OUP Catalogue, Oxford University Press, number 9780195301649.
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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.
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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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    Agricultural Finance; Demand and Price Analysis;

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