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PRICE ARBITRAGE BETWEEN QUEENSLAND CATTLE AUCTIONS
Author(s) -
Williams Christine H.,
Bewley Ronald A.
Publication year - 1993
Publication title -
australian journal of agricultural economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.683
H-Index - 49
eISSN - 1467-8489
pISSN - 0004-9395
DOI - 10.1111/j.1467-8489.1993.tb00527.x
Subject(s) - arbitrage , unison , common value auction , economics , information transmission , microeconomics , econometrics , financial economics , computer science , computer network , physics , acoustics
In a competitive market with free information flows, spatial arbitrage will ensure that average prices at geographically separate markets will move in unison. The speed of adjustment is related to information flows between markets; if adjustment lags exist, there may be opportunities for arbitragers to gain. The transmission of price information is modelled using Johansen's procedure and the existence of long‐run arbitrage opportunities is investigated. An innovation analysis is used to examine the varying responses to changes in prices at spatially separate markets.