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Implications of trader mix to price discovery and market effectiveness in live cattle futures
Author(s) -
Yun WonCheol,
Purcell Wayne,
McGuirk Anya,
Kenyon David
Publication year - 1995
Publication title -
journal of futures markets
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.88
H-Index - 55
eISSN - 1096-9934
pISSN - 0270-7314
DOI - 10.1002/fut.3990150402
Subject(s) - state (computer science) , west virginia , futures contract , virginia tech , management , library science , political science , history , economics , archaeology , computer science , financial economics , algorithm
Futures markets have been widely researched in terms of their pricing efficiency. Much of the research literature employs the framework originally offered by Fama (1970), a conceptualization built on the notion that an “efficient” market will discover a price that reflects the impact of available information on supply and demand. Rowsell (1992) included some 19 technical articles on livestock futures alone in his review of the literature on marketing efficiency. The research tends to be organized around two broad analytical approaches.