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• W2910068800 abstract "Abstract Since 2004, commodity futures markets have seen an unprecedented liquidity inflow linked to noise traders that follow global liquidity cycles rather than market fundamentals. This paper develops a price discovery model for commodity futures markets that incorporates noise trader effects by assuming two forms of limits to arbitrage: transaction costs and noise trader risk. It is shown that under these assumptions, commodity prices are driven by both market fundamentals and noise trader positions. Further, noise trader effects spill over to the cash market if limits to arbitrage due to transaction costs are imperfect but are confined to the futures market otherwise. The model is empirically tested using data from six grain and soft commodity markets." @default.
• W2910068800 created "2019-01-25" @default.
• W2910068800 creator A5006072032 @default.
• W2910068800 date "2019-07-01" @default.
• W2910068800 modified "2023-10-02" @default.
• W2910068800 title "Price discovery in commodity futures and cash markets with heterogeneous agents" @default.
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• W2910068800 doi "https://doi.org/10.1016/j.jimonfin.2019.03.003" @default.
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