Portal de Periódicos da CAPES

Commodity futures price changes: Recent evidence for wheat, soybeans and live cattle

1987; Wiley; Volume: 7; Issue: 3 Linguagem: Inglês

10.1002/fut.3990070305

1096-9934

Michael A. Hudson, Raymond M. Leuthold, Gboroton F. Sarassoro,

Financial Risk and Volatility Modeling

Journal of Futures MarketsVolume 7, Issue 3 p. 287-301 Article Commodity futures price changes: Recent evidence for wheat, soybeans and live cattle Michael A. Hudson, Michael A. Hudson Assistant Professor in the Department of Agricultural Economics at the University of Illinois at Urbana-ChampaignSearch for more papers by this authorRaymond M. Leuthold, Raymond M. Leuthold Professor in the Department of Agricultural Economics at the University of Illinois at Urbana-ChampaignSearch for more papers by this authorGboroton F. Sarassoro, Gboroton F. Sarassoro Ph.D. Candidate at the University of Illinois at Urbana-ChampaignSearch for more papers by this author Michael A. Hudson, Michael A. Hudson Assistant Professor in the Department of Agricultural Economics at the University of Illinois at Urbana-ChampaignSearch for more papers by this authorRaymond M. Leuthold, Raymond M. Leuthold Professor in the Department of Agricultural Economics at the University of Illinois at Urbana-ChampaignSearch for more papers by this authorGboroton F. Sarassoro, Gboroton F. Sarassoro Ph.D. Candidate at the University of Illinois at Urbana-ChampaignSearch for more papers by this author First published: June 1987 https://doi.org/10.1002/fut.3990070305Citations: 42AboutPDF ToolsRequest permissionExport citationAdd to favoritesTrack citation ShareShare Give accessShare full text accessShare full-text accessPlease review our Terms and Conditions of Use and check box below to share full-text version of article.I have read and accept the Wiley Online Library Terms and Conditions of UseShareable LinkUse the link below to share a full-text version of this article with your friends and colleagues. Learn more.Copy URL Share a linkShare onEmailFacebookTwitterLinkedInRedditWechat Bibliography Anderson, R. W., and Danthine, J. P. (1980): “ The Time Pattern of Hedging, Volatility of Futures, and the Resolution of Uncertainty,” Working Paper Series, Columbia University Center for the Study of Futures Markets, CFSM-7. Bachelier, L. (1900): “ Theory of Speculation,” in P. H. Cootner, ed, The Random Character of Stock Market Prices, MIT Press, Cambridge, MA, 1964. Bartlett, M. S. (1937): “ Properties of Sufficiency and Statistical Tests.” Proceedings of the Royal Society, Series A, pp. 160, 268. Black, F. (1976): “The Pricing of Commodity Contracts,” Journal of Financial Economics, 3: 167–179. Clark, P. K. (1973): “A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices,” Econometrica, 41: 135–155. David, H. A., Hartley, H. O., and Pearson, E. S. (1954): “The Distribution of the Ratio, in a Single Normal Sample Range to Standard Deviation,” Biometrika, 41: 482–493. Fama, E. (1970): “Efficient Capital Markets: A Review of Theory and Empirical Work,” Journal of Finance, 25: 383–417. Fama, E., and Roll, R. (1971): “Parameter Estimates for Symmetric Stable Distributions,” Journal of the American Statistical Association, 66: 331–338. Fama, E., and Roll, R. (1968): “Some Properties of Symmetric Stable Distributions.” Journal of American Statistical Association, 63: 817–836. Gordon, D. J. (1985): “ The Distribution of Daily Changes in Commodity Futures Prices,” USDA, Economic Research Service Technical Bulletin Number 1702. Grauer, L. F. (1977): “ Equilibrium in Commodity Futures Markets: Theory and Tests,” Ph.D. dissertation, Stanford University, California. Helms, B. P., and Martell, T. F. (1984): “ An Examination of the Distribution of Commodity Price Changes,” Working Paper Series, Columbia University Center for the Study of Futures Markets, CFSM-76. Houthakker, H. (1961): “Systematic and Random Elements in Short Term Price Movements,” American Economic Review, 51: 164–172. Irwin, H. S., and Brorsen, B. W. (1985): “Public Futures Funds.” Journal of Futures Markets, 5: 463–485. Judge, G. G., Griffiths, W. E., Hill, R. C., and Lee, T. C. (1980): The Theory and Practice of Econometrics. John Wiley and Sons, New York. Kamara, A. (1982): “Commodity Futures Markets: A Survey,” Journal of Futures Markets, 3: 261–294. Kendall, M. G. and Stuart, A. (1976): The Advanced Theory of Statistics Vol. III, Hafner Publishing Company, New York. Lee, C. F., and Leuthold, R. M. (1983): “Investment Horizon, Risk, and Return in Commodity Futures Markets: An Empirical Analysis With Daily Data,” Quarterly Review of Economics and Business, 23: 6–18. Leuthold, R. M., and Tomek, W. G. (1979): “ Developments in the Livestock Futures Markets.” in R. M. Leuthold and P. Dixon, Eds., Livestock Futures Research Symposium, Chicago Mercantile Exchange, Chicago, 39–69. Mann, J. S., and Heifner, R. G. (1976): “ The Distribution of Short-Run Commodity Price Movements,” USDA, Economic Research Service Technical Bulletin 1536. Mandelbrot, B. (1963): “The Variation of Certain Speculative Prices,” Journal of Business, 36: 394–419. Neftci, N. S. (1982): “ Some Econometric Problems in Using Daily Futures Price Data,” Working Paper Series, Columbia University Center for the Study of Futures Markets, CFSM-55. Richard, S. F. and Sundaresan, M. (1981): “A Continuous Time Equilibrium Model of Commodity Prices in a Multigood Economy,” Journal of Financial Economics, 9: 347–371. Rocca, L. H. (1969): “ Time Series Analysis of Commodity Futures Prices,” Ph.D. dissertation, University of California, Berkeley. Samuelson, P. A. (1965): “Proof That Properly Anticipated Prices Fluctuate Randomly,” Industrial Management Review, 6: 41–49. Smidt, S. (1968): “A New Look at the Random Walk Hypothesis,” Journal of Financial and Quantitative Analysis, 3: 235–261. Stein, J. L. (1979): “Spot, Forward and Futures,” Research in Finance, 1: 225–310. Stevenson, R. A., and Bear, R. M. (1970): “Commodity Futures: Trends or Random Walks,” Journal of Finance, 25: 65–81. Working, H. (1958): “A Theory of Anticipatory Prices,” American Economic Review-Papers and Proceedings, 48: 188–199. Working, H. (1977): “ Price Effects of Scalping and Day Trading,” Selected Writings of Holbrook Working, Chicago Board of Trade, Chicago, 181–193. Citing Literature Volume7, Issue3June 1987Pages 287-301 ReferencesRelatedInformation