THE DISTRIBUTIONAL BEHAVIOR OF FUTURES PRICE SPREADS

The distributional behavior of futures price spreads is examined for four commodities: corn, live cattle, gold and T-bonds. Remarkably different results are found over commodities, time period, and sample size. Actual spread changes for the smaller sample size of gold and T-bonds and for corn produce more normal distributions for weekly than for daily differencing intervals, while all live cattle spreads for actual changes are normally distributed. However, the larger sample size of both gold and T-bonds and the relative spread changes for corn and live cattle do not become more normally distributed under temporal aggregation of the data.


Subject(s):
Issue Date:
2000-04
Publication Type:
Journal Article
PURL Identifier:
http://purl.umn.edu/15399
Published in:
Journal of Agricultural and Applied Economics, Volume 32, Number 1
Page range:
73-87
Total Pages:
15




 Record created 2017-04-01, last modified 2017-08-23

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