Information shares in Canadian agricultural cash and futures markets

Abstract

This paper examines the information shares in four pairs of Canadian agricultural cash and futures markets by exploring their cointegrating relationships. Using error correction models (ECMs) and Hasbrouck's econometric method of estimating information shares, the results show that the price discovery process is most pronounced in the futures market. The identification and quantification of the dominant market of price discovery is of great interest to both hedgers and speculators. The advantage of Hasbrouck's technique is that it facilitates the quantification of the concept of price discovery and market dominance.