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SPECTRAL ANALYSIS OF THE THEORY OF ANTICIPATORY PRICES
Author(s) -
Chambers Robert G.,
Woolverton Michael W.
Publication year - 1982
Publication title -
journal of agricultural economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.157
H-Index - 61
eISSN - 1477-9552
pISSN - 0021-857X
DOI - 10.1111/j.1477-9552.1982.tb00713.x
Subject(s) - futures contract , cash , economics , futures market , financial economics , econometrics , finance
The paper investigates the intertemporal relationship between cash and futures price changes using the techniques of spectral analysis. Daily data for the wheat, corn and soybean markets are analysed to determine if and how cash and futures prices move together. On a daily basis wheat and corn cash and futures prices move together; soybeans cash and futures prices do not move together on a daily basis.