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Provedor de dados:  AgEcon
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>2001 Conference, St. Louis, MO, April 23-24, 2001
2001 Conference, St. Louis, MO, April 23-24, 2001
Formato:  26

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