Data/hora: 16/06/2024 04:37:08

Provedor de dados: | 31
País: | United States
Título: | MARKET INVERSION IN COMMODITY FUTURES PRICES
Autores: | Yoon,   Byung-Sam; Brorsen,   B. Wade.
Data: | 2001-06-15
Ano: | 2001
Palavras-chave: | Demand and Price Analysis.
Resumo: | As  opposed  to  a  normal  market, an inverted  market has a negative price of storage or spread. Market inversions in nearby spreads rarely occur during early months of the crop year since stocks are  usually  abundant  after harvest.  However,  market inversions  frequently  occur when the  spreads are observed across  crop years near the end of the crop year. The regressions of spreads on the logarithm of U.S. quarterly stocks show that there exists a positive relationship between the spread and the level of stocks, and further implies that when stocks are scarce, markets will be inverted. Simulations are conducted  to  determine  whether  a market inversion is a signal to sell the stocks. The results of the paired-difference tests reveal that as the crop cycle advances towards the end  of  the  crop  year, market  inversions  clearly reflect the market's signal to release stocks in anticipation of new crop supplies. The regressions of actual returns to storage on predicted returns to storage clearly show that a market inversion is a signal to sell. The results support the behavioral finance hypothesis that producers are choosing to hold excess stocks because of some type of biased expectations.
Tipo: | Conference Paper or Presentation
Idioma: | Inglês

Identificador:

2878

http://purl.umn.edu/18962

Editor: | AgEcon Search

Relação:

NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management&gt;2001 Conference, St. Louis, MO, April 23-24, 2001

2001 Conference, St. Louis, MO, April 23-24, 2001

Formato:

26

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