University of Illinois at Urbana-Champaign
Market efficiency and the microstructure of grain futures markets implied by return series of various time intervals
Abstract
dc:descriptionThis 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.
Degree
thesis:*- Name thesis:degree_name
- Ph.D.
- Level thesis:degree_level
- Dissertation
- Discipline thesis:degree_discipline
- Agricultural and Consumer Economics
- Grantor
- University of Illinois at Urbana-Champaign
- Year dc:date
- 2011
Author and committee
dc:creator, dc:contributor.*- Author dc:creator
-
- Liu, Shi-Miin
Subjects
dc:subject × 1Rights
dc:rights- Statement dc:rights
-
- Copyright 1990 Liu, Shi-Miin
- Language dc:language
- eng
Identifiers
dc:identifier.*- Identifier
-
AAI9026256
(UMI)AAI9026256 - OAI identifier oai:identifier
- oai:www.ideals.illinois.edu:2142/21962