Document Type

Article

Journal/Book Title/Conference

Economics Research Institute Study Paper

Volume

96

Issue

11

Publisher

Utah State University Department of Economics

Publication Date

1996

Rights

Copyright for this work is held by the author. Transmission or reproduction of materials protected by copyright beyond that allowed by fair use requires the written permission of the copyright owners. Works not in the public domain cannot be commercially exploited without permission of the copyright owner. Responsibility for any use rests exclusively with the user. For more information contact the Institutional Repository Librarian at digitalcommons@usu.edu.

First Page

1

Last Page

26

Abstract

This study analyzes the time-series statistical properties of wheat futures prices to determine whether price behavior differs among intramarket contracts. We argue that the differential role of inventories, information, hedging objectives, and probability of stock-out across seasons provide a theoretical basis and empirical interest for finding such a difference. The behavior of May and September futures prices are indeed found to be significantly different and in ways consistent with theory. Furthermore, an endogenous contract arrival effect is found for both contracts, demonstrating the importance of developing models which incorporate market activity proxies.

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