Price Discovery and Market Reflexivity in Agricultural Futures Contracts with Different Maturities
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2020
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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% 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 the consideration of market reflexivity.
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volkenand2020risksprice
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| Authors | Steffen Volkenand;Günther Filler;Martin Odening;Volkenand, Steffen;Filler, Günther;Odening, Martin; |
| Journal | risks |
| Year | 2020 |
| DOI |
10.3390/risks8030075
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