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1984•RePEc: Research Papers in EconomicsOpen access

INVESTIGATION OF PRICE DISCOVERY AND EFFICIENCY FOR CASH AND FUTURES COTTON PRICES

B. Wade Brorsen, DeeVon Bailey, Richardson, James W., Brorsen, B. Wade, Bailey, DeeVon, Richardson, James W.

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Abstract

The dynamic relationship between daily cash and futures prices is investigated using time series analysis. The procedure involves causality tests between the two price series. The results show that futures price movements lead cash prices, implying that prices are discovered in the futures market.

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The dynamic relationship between daily cash and futures prices is investigated using time series analysis. The procedure involves causality tests between the two price series. The results show that futures price movements lead cash prices, implying that prices are discovered in the futures market.

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Available abstract

The dynamic relationship between daily cash and futures prices is investigated using time series analysis. The procedure involves causality tests between the two price series. The results show that futures price movements lead cash prices, implying that prices are discovered in the futures market.

Key concepts: Price discovery, Futures contract, Economics, Cash, Forward market, Financial economics, Normal backwardation, Speculation

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