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| Nardella, Michele. |
| In recent years a number of market participants called into question the efficiency of the price discovery mechanism in commodity futures markets. They believe that speculators move commodity futures markets away from their fundamentals by distorting prices and exacerbating volatility. The smoking gun of these allegations is the empirical observation that speculative buying (selling) precedes movements in the cocoa futures markets. Among soft commodities, the cocoa futures market represents an interesting case study. In the last decades, speculators open interest is increased by nearly 4 times, fuelling the apprehension of practitioners and market analysts. This paper evaluates the efficiency of the price discovery mechanism in cocoa futures markets.... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Futures markets; Efficient market hypothesis; Speculation; Marketing. |
| Ano: 2007 |
URL: http://purl.umn.edu/7970 |
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| Marshall, Pablo; Walker, Eduardo. |
| This paper studies the daily stock price reaction to new information of portfolios grouped by size quintiles. To that end, cross-correlations, autocorrelations and Dimson beta regressions are analyzed. Based on a sample of shares traded in the Santiago de Chile Stock Exchange for the 1991-1998 period, results show that larger company stock prices –as measured by market capitalization– react to both good and bad news sooner than the smaller ones do. Thus a crossed effect appears, although not as a cascade: only the prices of large firms react earlier than the rest. These effects do not seem to be caused by non-trading. There also are significant asymmetric lagged and cross-effects. Good news has a more pronounced lagged effect than bad news does. |
| Tipo: Journal Article |
Palavras-chave: Efficient market hypothesis; Cross-serial autocorrelation; Emerging markets; Financial Economics; G12; G15. |
| Ano: 2002 |
URL: http://purl.umn.edu/44293 |
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