Dynamic Price Discovery in a Securities Market: Public vs. Private Offers

2018 ◽  
Author(s):  
Ali Kakhbod ◽  
Fei Song
Keyword(s):  
Price Discovery ◽  
Securities Market ◽  
Dynamic Price

scholarly journals Dynamic price relationships and price discovery among cheese markets

2020 ◽  
pp. 1-13
Author(s):  
Hernan A. Tejeda ◽  
Man-Keun Kim
Keyword(s):  
Price Discovery ◽  
The United States ◽  
Relative Price ◽  
Cottage Cheese ◽  
Correction Model ◽  
Vector Error Correction ◽  
Dynamic Price ◽  
Vector Error ◽  
Price Relationship ◽  
Price Relationships

The United States (U.S.) cheese sector has been steadily growing throughout the years. Since 1980, U.S. consumers have doubled their annual consumption of cheese, currently at about 37.9 lbs. per capita in 2018 excluding cottage cheese. Cheese varieties are generally classified as American type (Cheddar, Monterey and others), Italian type (Mozzarella and others), and Other type (Swiss, Muenster and others) since they serve different markets. American cheese is consumed regularly in hamburgers, sandwiches and in similar settings. Italian cheese is typically consumed in pizzas, pasta and Italian cuisine. Despite the burgeoning growth in cheese demand, there has been no study addressing the dynamic price relationship among different varieties of cheese. This study investigates the price discovery process among cheese varieties: Cheddar, Mozzarella, Swiss, Muenster, and Monterey by using a vector error correction model and standard innovation accounting. Results indicate relative price interaction among different varieties of cheese, providing empirical evidence of some decouplment or separation among American (Cheddar and Monterey), Italian (Mozzarella), and Other type (Swiss). An exemption is Muenster which despite being classified as Other type of cheese responds to American’s Cheddar.

scholarly journals Dynamic Price Discovery Process of Chinese Agricultural Futures Markets: An Empirical Study Based on the Rolling Window Approach

2019 ◽  
Vol 51 (04) ◽  
pp. 664-681 ◽  
Author(s):  
Yuanyuan Xu ◽  
Fanghui Pan ◽  
Chuanmei Wang ◽  
Jian Li
Keyword(s):  
Futures Markets ◽  
Price Discovery ◽  
Cointegration Analysis ◽  
Agricultural Policies ◽  
Dynamic Price ◽  
Rolling Window ◽  
Agricultural Futures ◽  
Stabilization Policies ◽  
The Difference ◽  
Window Approach

AbstractWe investigate the dynamic evolution of the price discovery function in Chinese agricultural futures markets using a newly developed rolling window cointegration approach. The results show that, compared with wheat and rice, the futures-spot cointegration relationship in the soybean and corn markets tends to be more durable and frequent. Dynamic cointegration analysis indicates that the recent market-oriented reforms in China have boosted the price discovery function of soybean and corn futures markets, whereas price stabilization policies tend to weaken the price discovery function of futures markets. The difference in price discovery function is attributed to differences in market mechanisms and Chinese agricultural policies.

scholarly journals Time-varying arbitrage and dynamic price discovery

2018 ◽  
Vol 91 ◽  
pp. 485-502 ◽  
Author(s):  
Bart Frijns ◽  
Remco C.J. Zwinkels
Keyword(s):  
Price Discovery ◽  
Time Varying ◽  
Dynamic Price
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