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Applied Economics Letters Volume 20, 2013 - Issue 4
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Original Articles

Price discovery in commodity markets

Massimo Peri Department of Agricultural, Food and Environmental Economics, Università degli Studi di Milano, 20133, Milan, ItalyCorrespondence[email protected]
,
Lucia Baldi Department of Agricultural, Food and Environmental Economics, Università degli Studi di Milano, 20133, Milan, Italy
&
Daniela Vandone Department of Economics, Business and Statistics, Università degli Studi di Milano, 20133, Milan, Italy
Pages 397-403 | Published online: 02 Aug 2012

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Tao Xiong & Zhongyi Hu. (2021) Soybean Futures Price Forecasting Using Dynamic Model Averaging: Do the Predictors Change over Time?. Emerging Markets Finance and Trade 57:4, pages 1198-1214.
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Kyoungsu Kim & Seok Lim. (2019) Price discovery and volatility spillover in spot and futures markets: evidences from steel-related commodities in China. Applied Economics Letters 26:5, pages 351-357.
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Stefan Ederer, Christine Heumesser & Cornelia Staritz. (2016) Financialization and commodity prices – an empirical analysis for coffee, cotton, wheat and oil. International Review of Applied Economics 30:4, pages 462-487.
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Articles from other publishers (28)

Roland Gemayel, Tatiana Franus & James Bowden. (2023) Price discovery between Bitcoin spot markets and exchange traded products. Economics Letters 228, pages 111152.
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Zhuo Chen, Bo Yan, Hanwen Kang & Liyu Liu. (2021) Asymmetric price adjustment and price discovery in spot and futures markets of agricultural commodities. Review of Economic Design 27:1, pages 139-162.
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Manogna R.L.Aswini Kumar Mishra. (2021) Market efficiency and price risk management of agricultural commodity prices in India. Journal of Modelling in Management 18:1, pages 190-211.
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Ke Xu, Kenneth G. Stewart & Zeyang Cao. (2022) Fractional cointegration and price discovery in Canadian commodities. The North American Journal of Economics and Finance 63, pages 101799.
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Elham Farzanegan. (2022) Time-varying price discovery in Bahar-e-Azadi Gold Coin spot and futures contracts. Investment Management and Financial Innovations 19:3, pages 153-166.
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Upananda Pani, Ştefan Cristian Gherghina, Mário Nuno Mata, Joaquim António Ferrão & Pedro Neves Mata. (2022) Does Indian Commodity Futures Markets Exhibit Price Discovery? An Empirical Analysis. Discrete Dynamics in Nature and Society 2022, pages 1-14.
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A.N. Vijayakumar. (2021) Price discovery and market efficiency of cardamom in India. Vilakshan - XIMB Journal of Management 19:1, pages 28-44.
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Bo Zhu, Renda Lin, Yuanyue Deng, Pingshe Chen & Julien Chevallier. (2021) Intersectoral systemic risk spillovers between energy and agriculture under the financial and COVID-19 crises. Economic Modelling 105, pages 105651.
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Maria Effenberger, Andreas Kronbichler, Erica Bettac, Felix Grabherr, Christoph Grander, Timon Erik Adolph, Gert Mayer, Heinz Zoller, Paul Perco & Herbert Tilg. (2021) Using Infodemiology Metrics to Assess Public Interest in Liver Transplantation: Google Trends Analysis. Journal of Medical Internet Research 23:8, pages e21656.
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Dmitry Frolov, Milana Shevchenko & Natella Kosenko. (2021) Digitization of the agricultural crop industry as a factor for business growth. E3S Web of Conferences 273, pages 08023.
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Dagim G. Belay & Hailemariam Ayalew. (2020) Nudging farmers in crop choice using price information: Evidence from Ethiopian Commodity Exchange. Agricultural Economics 51:5, pages 793-808.
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Hong-Yong Wang & You-Shuai Feng. (2020) Multivariate correlation analysis of agricultural futures and spot markets based on multifractal statistical methods. Journal of Statistical Mechanics: Theory and Experiment 2020:7, pages 073403.
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Teresa Vollmer, Helmut Herwartz & Stephan von Cramon-Taubadel. (2020) Measuring price discovery in the European wheat market using the partial cointegration approach. European Review of Agricultural Economics 47:3, pages 1173-1200.
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Manogna R L & Aswini Kumar Mishra. (2020) Price discovery and volatility spillover: an empirical evidence from spot and futures agricultural commodity markets in India. Journal of Agribusiness in Developing and Emerging Economies 10:4, pages 447-473.
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Athanasios P. Fassas, Stephanos Papadamou & Alexandros Koulis. (2020) Price discovery in bitcoin futures. Research in International Business and Finance 52, pages 101116.
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Miranda Svanidze & Linde Götz. (2019) Determinants of spatial market efficiency of grain markets in Russia. Food Policy 89, pages 101769.
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Hua Ling Deng & Yǔ Qiàn Sūn. (2019) Soybean Price Pattern Discovery Via Toeplitz Inverse Covariance-Based Clustering. International Journal of Agricultural and Environmental Information Systems 10:4, pages 1-17.
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Miranda Svanidze & Linde Götz. (2019) Spatial market efficiency of grain markets in Russia: Implications of high trade costs for export potential. Global Food Security 21, pages 60-68.
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A. Manelli, S. Branciari, L. Montanini & A. D’Andrea. 2019. The First Outstanding 50 Years of “Università Politecnica delle Marche”. The First Outstanding 50 Years of “Università Politecnica delle Marche” 147 164 .
Philipp Adämmer & Martin T. Bohl. (2018) Price discovery dynamics in European agricultural markets. Journal of Futures Markets 38:5, pages 549-562.
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Sarveshwar Kumar Inani. (2017) Price Discovery and Efficiency of Indian Agricultural Commodity Futures Market: An Empirical Investigation. Journal of Quantitative Economics 16:1, pages 129-154.
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Massimo Peri. (2017) Climate variability and the volatility of global maize and soybean prices. Food Security 9:4, pages 673-683.
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Massimo Peri, Daniela Vandone & Lucia Baldi. (2017) Volatility Spillover between Water, Energy and Food. Sustainability 9:6, pages 1071.
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Kushankur Dey & Debasish Maitra. (2016) Can futures markets accommodate Indian farmers?. Journal of Agribusiness in Developing and Emerging Economies 6:2, pages 150-172.
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Lucia Baldi, Massimo Peri & Daniela Vandone. (2016) Stock markets’ bubbles burst and volatility spillovers in agricultural commodity markets. Research in International Business and Finance 38, pages 277-285.
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Philipp Adämmer, Martin T. Bohl & Christian Gross. (2016) Price Discovery in Thinly Traded Futures Markets: How Thin is Too Thin?. Journal of Futures Markets 36:9, pages 851-869.
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S. Ganneval. (2016) Spatial price transmission on agricultural commodity markets under different volatility regimes. Economic Modelling 52, pages 173-185.
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Massimo Peri, Daniela Vandone & Lucia Baldi. (2014) Internet, noise trading and commodity futures prices. International Review of Economics & Finance 33, pages 82-89.
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