Volkenand, S.; Filler, G.; Odening, M. Price Discovery and Market Reflexivity in Agricultural Futures Contracts with Different Maturities. Risks2020, 8, 75.
Volkenand, S.; Filler, G.; Odening, M. Price Discovery and Market Reflexivity in Agricultural Futures Contracts with Different Maturities. Risks 2020, 8, 75.
Volkenand, S.; Filler, G.; Odening, M. Price Discovery and Market Reflexivity in Agricultural Futures Contracts with Different Maturities. Risks2020, 8, 75.
Volkenand, S.; Filler, G.; Odening, M. Price Discovery and Market Reflexivity in Agricultural Futures Contracts with Different Maturities. Risks 2020, 8, 75.
Abstract
The purpose of this paper is to analyze market reflexivity in agricultural futures contracts with different maturities. To this end, we apply a four-dimensional Hawkes model to storable and non-storable agricultural commodities. We find market reflexivity for both storable and non-storable commodities. Reflexivity accounts for about 50 to 70 percent of the total trading activity. Differences between nearby and deferred contracts are less pronounced for non-storable than for storable commodities. We conclude that the co-existence of exogenous and endogenous price dynamics does not change qualitative characteristics of the price discovery process that have been observed earlier without consideration of market reflexivity.
Keywords
agricultural commodity futures; price discovery; market reflexivity; Hawkes process
Subject
Business, Economics and Management, Econometrics and Statistics
Copyright:
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
