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Price discovery in the European wheat market

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  • Vollmer, Teresa
  • Von Cramon-Taubadel, Stephan

Abstract

To know about the pricing process in agricultural spot and futures markets is important for every market participant. However, literature for the European market is rare. In this article we analyse price discovery in the European wheat market and focus especially on time periods with price turmoil. We find that price discovery is subject to structural changes over time and that the pattern of dominance in the pricing process alternates between the spot and futures market. Results suggest that neither price turmoil nor a change in the liquidity of the futures market is solely responsible for these structural changes.

Suggested Citation

  • Vollmer, Teresa & Von Cramon-Taubadel, Stephan, 2017. "Price discovery in the European wheat market," 2017 International Congress, August 28-September 1, 2017, Parma, Italy 261135, European Association of Agricultural Economists.
    • Handle: RePEc:ags:eaae17:261135
    DOI: 10.22004/ag.econ.261135
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    Cited by:

    1. Alejandro Acosta & Rico Ihle & Stephan Cramon-Taubadel, 2019. "Combining market structure and econometric methods for pricetransmission analysis," Food Security: The Science, Sociology and Economics of Food Production and Access to Food, Springer;The International Society for Plant Pathology, vol. 11(4), pages 941-951, August.
    2. Vollmer, Teresa & von Cramon-Taubadel, Stephan, 2020. "The Optimal Wheat Futures Hedge at the Euronext Paris from a Farmer’s Perspective," German Journal of Agricultural Economics, Humboldt-Universitaet zu Berlin, Department for Agricultural Economics, vol. 69(1), March.
    3. Narjiss Araba & Alain François-Heude, 2019. "Price discovery and volatility spillovers in the French wheat market," Post-Print hal-03088859, HAL.

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    Agricultural and Food Policy; Marketing;

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