Spatial and inter-temporal price analysis : including risk perceptions and dynamic trade flow information Public Deposited

http://ir.library.oregonstate.edu/concern/graduate_thesis_or_dissertations/6969z481j

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  • A regime-switching model for market integration study is extended to incorporate dynamic trade flow information and risk perceptions based on an expected utility framework. An application of the extended model to the US-China soybean markets analysis shows that: One, the positive arbitrage rent uncounted-for in the extended model has been substantially reduced compared to the results from previous models. Two, dynamic trade information modeling provides more accurate information about market integration conditions. Three, inclusion of variables derived from the mean-variance expected utility function representing risk factors may help correct the weakness of the price relationship model in revealing the causes of observing or failure to observe the law of one price. Finally, US-China soybean markets are found to be integrated most of the time. However, significant deviations from efficient arbitrage are also detected.
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