Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/113213 
Year of Publication: 
2015
Series/Report no.: 
Beiträge zur Jahrestagung des Vereins für Socialpolitik 2015: Ökonomische Entwicklung - Theorie und Politik - Session: Asset and Bond Markets No. B09-V1
Publisher: 
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften, Leibniz-Informationszentrum Wirtschaft
Abstract: 
We investigate the price dynamics of two illiquid agricultural futures contracts traded at the European Exchange in Frankfurt. Based on constant and time-varying vector error correction models, we measure the contribution of each futures market to price discovery. Although results from the constant model indicate a dominant role of both futures markets, time-varying parameters reveal strong fluctuations in the price discovery process of the less liquid futures market. By comparing the empirical results, we conclude that the trading volume threshold which is necessary to facilitate efficient price discovery is very low. Our findings also show that neglecting time-variation in the parameters can lead to misleading results, especially for thinly traded markets.
JEL: 
G12
G13
Q11
Document Type: 
Conference Paper

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