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Research in Agricultural Futures Markets: Integrating the Finance and Marketing Approach AgEcon
Pennings, Joost M.E.; Egelkraut, Thorsten M..
In a brief literature review, we discuss how our insight into the grounds of existence of futures markets has changed from the initial insurance perspective, to the arbitrage perspective, to the portfolio perspective, and to the current institutional perspective. We discuss futures market research within agricultural marketing, on the one hand, and within finance, on the other hand. The research within these two disciplines may be considered complementary. Subsequently, a new research model is presented which integrates both strains of research. The new research model is illustrated for the Dutch hog industry. This model is a powerful instrument in the development of new commodity futures contracts. Finally, a future research agenda for agricultural...
Tipo: Journal Article Palavras-chave: Agricultural futures markets; Research approaches; Financemarketing integration; Financial Economics.
Ano: 2003 URL: http://purl.umn.edu/97980
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Smart Money: The Forecasting Ability of CFTC Large Traders in Agricultural Futures Markets AgEcon
Sanders, Dwight R.; Irwin, Scott H.; Merrin, Robert P..
The forecasting content of the Commodity Futures Trading Commission’s Commitments of Traders (COT) report is investigated. Bivariate Granger causality tests show very little evidence that traders’ positions are useful in forecasting (leading) returns in 10 agricultural futures markets. However, there is substantial evidence that traders respond to price changes. In particular, noncommercial traders display a tendency for trend following. The other trader classifications display mixed styles, perhaps indicating those trader categories capture a variety of traders. The results generally do not support use of the COT data in predicting price movements in agricultural futures markets.
Tipo: Report Palavras-chave: Agricultural futures markets; Commitments of traders; Forecasting; Prices; Agribusiness; Agricultural Finance.
Ano: 2009 URL: http://purl.umn.edu/54547
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