PRICE ARBITRAGE BETWEEN QUEENSLAND CATTLE AUCTIONS

In a competitive market with free information flows, spatial arbitrage will ensure that average prices at geographically separate markets will move in unison. The speed of adjustment is related to information flows between markets; if adjustment lags exist, there may be opportunities for arbitragers to gain. The transmission of price information is modelled using Johansen's procedure and the existence of long-run arbitrage opportunities is investigated. An innovation analysis is used to examine the varying responses to changes in prices at spatially separate markets.


Subject(s):
Issue Date:
1993-04
Publication Type:
Journal Article
PURL Identifier:
http://purl.umn.edu/22381
Published in:
Australian Journal of Agricultural Economics, Volume 37, Number 1
Page range:
33-55
Total Pages:
23




 Record created 2017-04-01, last modified 2017-08-24

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