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Asset Storability and Price Discovery of Commodity Futures Markets: A New Look

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Bibliographic Details
Other Authors: Bessler, David [Other] • Leatham, David J. [Other]
Type of Resource: E-Book
Language: Undetermined
[S.l.] SSRN [2002]
Source: Verbunddaten SWB
Lizenzfreie Online-Ressourcen
Summary: This paper examines the price discovery performance of futures markets for storable and nonstorable commodities in the long run, allowing for the compounding factor of stochastic interest rates. The evidence shows that asset storability does not affect the existence of cointegration between cash and futures prices and the usefulness of future markets in predicting future cash prices. However, it may affect the magnitude of bias of futures markets' estimates (or predictions) for future cash prices. These findings have several important implications for commodity production decision-making, commodity hedging and commodity price forecasting
Physical Description: 1 Online-Ressource (32 p)
DOI: 10.2139/ssrn.322682
Access: Open Access