{"id":{"repo_id":"uiuc","oai_identifier":"oai:www.ideals.illinois.edu:2142/21962"},"canonical_url":"https://search.dev.ndltd.org/etd/uiuc/oai:www.ideals.illinois.edu:2142/21962","repository":{"repo_id":"uiuc","name":"University of Illinois - Urbana-Champaign","base_url":"https://www.ideals.illinois.edu/oai-pmh"},"display":{"title":"Market efficiency and the microstructure of grain futures markets implied by return series of various time intervals","abstract":"This dissertation investigates the price adjustment process and efficiency of grain futures markets (corn, wheat, oats, soybeans, soybean meal, and soybean oil) using data from the 1986 contracts traded on the Chicago Board of Trade. By Black's (1986) criteria, a market is efficient if the price is between half and twice of the underlying equilibrium value. This standard is applied to Amihud-Mendelson's (1987) model of price adjustment with noise using regression and Box-Jenkins' (1970) ARMA (1,1) techniques. Noise trading (scalping) provides liquidity to the market, and has a major impact on the process of price adjustment. The measure of trading noise employed in this study is modified from Thompson's (1984) technique.","abstract_html":"This dissertation investigates the price adjustment process and efficiency of grain futures markets (corn, wheat, oats, soybeans, soybean meal, and soybean oil) using data from the 1986 contracts traded on the Chicago Board of Trade. By Black's (1986) criteria, a market is efficient if the price is between half and twice of the underlying equilibrium value. This standard is applied to Amihud-Mendelson's (1987) model of price adjustment with noise using regression and Box-Jenkins' (1970) ARMA (1,1) techniques. Noise trading (scalping) provides liquidity to the market, and has a major impact on the process of price adjustment. The measure of trading noise employed in this study is modified from Thompson's (1984) technique.","abstract_has_math":false,"creators":["Liu, Shi-Miin"],"institution":"University of Illinois at Urbana-Champaign","degree_name":"Ph.D.","degree_level":"Dissertation","degree_discipline":"Agricultural and Consumer Economics","degree_department":null,"school":null,"contributors":[],"advisors":[],"committee_chairs":[],"committee_members":[],"year":2011,"date_issued":"2011-05-07T13:24:34Z","date_published":"2011-05-07T13:24:34Z","updated_at":"2026-07-22T22:25:19Z","subjects":["Economics, Agricultural"],"languages":["eng"],"rights":["Copyright 1990 Liu, Shi-Miin"],"rights_urls":[],"identifier_entries":[{"key":"dc:identifier","label":"Identifier","values":["AAI9026256","(UMI)AAI9026256"],"render_values":[{"text":"AAI9026256","href":null,"code":true},{"text":"(UMI)AAI9026256","href":null,"code":true}]}]},"links":{"outbound_url":"http://hdl.handle.net/2142/21962","outbound_label":"Handle","outbound_source":"dc:identifier"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:creator","label":"Author","values":["Liu, Shi-Miin"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date","label":"Dc Date","values":["2011-05-07T13:24:34Z","10000-01-01","1990"]},{"key":"dc:type","label":"Dc Type","values":["text"]},{"key":"thesis:degree_discipline","label":"Discipline","values":["Agricultural and Consumer Economics"]},{"key":"thesis:degree_level","label":"Degree Level","values":["Dissertation"]},{"key":"thesis:degree_name","label":"Degree Name","values":["Ph.D."]},{"key":"thesis:institution_name","label":"Thesis Institution Name","values":["University of Illinois at Urbana-Champaign"]}]},{"id":"subjects_keywords","label":"Subjects and Keywords","entries":[{"key":"dc:subject","label":"Dc Subject","values":["Economics, Agricultural"]}]},{"id":"language_rights","label":"Language and Rights","entries":[{"key":"dc:language","label":"Dc Language","values":["eng"]},{"key":"dc:rights","label":"Dc Rights","values":["Copyright 1990 Liu, Shi-Miin"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier","label":"Identifier","values":["AAI9026256","(UMI)AAI9026256","http://hdl.handle.net/2142/21962"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description","label":"Description","values":["This dissertation investigates the price adjustment process and efficiency of grain futures markets (corn, wheat, oats, soybeans, soybean meal, and soybean oil) using data from the 1986 contracts traded on the Chicago Board of Trade. By Black's (1986) criteria, a market is efficient if the price is between half and twice of the underlying equilibrium value. This standard is applied to Amihud-Mendelson's (1987) model of price adjustment with noise using regression and Box-Jenkins' (1970) ARMA (1,1) techniques. Noise trading (scalping) provides liquidity to the market, and has a major impact on the process of price adjustment. The measure of trading noise employed in this study is modified from Thompson's (1984) technique.","Seven return series of different time intervals are analyzed for each grain futures. Based on information provided by Working (1967) on the intervals over which professional speculators hold futures positions, the behavior of various return series may be associated with trading activities of scalpers, day traders, and position traders. Interval effects on the price adjustment process are examined to explore the competitive performance of grain speculators. The systematic patterns of various return series are also evaluated through the ARIMA model building process.","The conclusions of this study are as follows: (1) Efficiency of grain futures markets are generally supported by the results according to Black's criteria. The few cases with unacceptable price adjustment estimates are the tick return series in the corn futures contract, the weekly series in the soybean meal contract, and the quarter-hour, half-hour, and one-hour series in the soybean oil contract based on regression estimates. (2) Competitiveness and/or efficient information processing ability of most grain futures speculators is implied by the findings. The performance of scalpers and position traders in corn futures markets, and day traders in three soybean markets warrants further investigation. (3) The patterns of grain futures returns are consistently random in all series except for the tick series.","Made available in DSpace on 2011-05-07T13:24:34Z (GMT). No. of bitstreams: 2 license.txt: 4922 bytes, checksum: 910b249b4beec47e7ab768910c8f966f (MD5) 9026256.pdf: 6813954 bytes, checksum: 349517676df0f68ee0b7fc62706c4a79 (MD5) Previous issue date: 1990","Item marked as restricted to the 'UIUC Users [automated]' Group (id=2) by Howard Ding (hding2@illinois.edu) on 2011-05-07T14:54:23Z Item is restricted indefinitely.","Restriction data tranferred 2014-07-01T11:25:16-05:00 Original Data Group with Access UIUC Users [automated] Release Date: none Reason: ETDs are only available to UIUC Users without author permission","ETDs are only available to UIUC Users without author permission","U of I Only"]},{"key":"dc:title","label":"Title","values":["Market efficiency and the microstructure of grain futures markets implied by return series of various time intervals"]}]}],"canonical_facts":{"dc:creator":["Liu, Shi-Miin"],"dc:date":["2011-05-07T13:24:34Z","10000-01-01","1990"],"dc:description":["This dissertation investigates the price adjustment process and efficiency of grain futures markets (corn, wheat, oats, soybeans, soybean meal, and soybean oil) using data from the 1986 contracts traded on the Chicago Board of Trade. By Black's (1986) criteria, a market is efficient if the price is between half and twice of the underlying equilibrium value. This standard is applied to Amihud-Mendelson's (1987) model of price adjustment with noise using regression and Box-Jenkins' (1970) ARMA (1,1) techniques. Noise trading (scalping) provides liquidity to the market, and has a major impact on the process of price adjustment. The measure of trading noise employed in this study is modified from Thompson's (1984) technique.","Seven return series of different time intervals are analyzed for each grain futures. Based on information provided by Working (1967) on the intervals over which professional speculators hold futures positions, the behavior of various return series may be associated with trading activities of scalpers, day traders, and position traders. Interval effects on the price adjustment process are examined to explore the competitive performance of grain speculators. The systematic patterns of various return series are also evaluated through the ARIMA model building process.","The conclusions of this study are as follows: (1) Efficiency of grain futures markets are generally supported by the results according to Black's criteria. The few cases with unacceptable price adjustment estimates are the tick return series in the corn futures contract, the weekly series in the soybean meal contract, and the quarter-hour, half-hour, and one-hour series in the soybean oil contract based on regression estimates. (2) Competitiveness and/or efficient information processing ability of most grain futures speculators is implied by the findings. The performance of scalpers and position traders in corn futures markets, and day traders in three soybean markets warrants further investigation. (3) The patterns of grain futures returns are consistently random in all series except for the tick series.","Made available in DSpace on 2011-05-07T13:24:34Z (GMT). No. of bitstreams: 2 license.txt: 4922 bytes, checksum: 910b249b4beec47e7ab768910c8f966f (MD5) 9026256.pdf: 6813954 bytes, checksum: 349517676df0f68ee0b7fc62706c4a79 (MD5) Previous issue date: 1990","Item marked as restricted to the 'UIUC Users [automated]' Group (id=2) by Howard Ding (hding2@illinois.edu) on 2011-05-07T14:54:23Z Item is restricted indefinitely.","Restriction data tranferred 2014-07-01T11:25:16-05:00 Original Data Group with Access UIUC Users [automated] Release Date: none Reason: ETDs are only available to UIUC Users without author permission","ETDs are only available to UIUC Users without author permission","U of I Only"],"dc:identifier":["AAI9026256","(UMI)AAI9026256","http://hdl.handle.net/2142/21962"],"dc:language":["eng"],"dc:rights":["Copyright 1990 Liu, Shi-Miin"],"dc:subject":["Economics, Agricultural"],"dc:title":["Market efficiency and the microstructure of grain futures markets implied by return series of various time intervals"],"dc:type":["text"],"thesis:degree_discipline":["Agricultural and Consumer Economics"],"thesis:degree_level":["Dissertation"],"thesis:degree_name":["Ph.D."],"thesis:institution_name":["University of Illinois at Urbana-Champaign"]},"updated_at":"2026-07-22T22:25:19Z"}