Graduate Thesis Or Dissertation

 

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

Contenu téléchargeable

Télécharger le fichier PDF
https://ir.library.oregonstate.edu/concern/graduate_thesis_or_dissertations/6969z481j

Descriptions

Attribute NameValues
Creator
Abstract
  • 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.
Resource Type
Date Available
Date Issued
Degree Level
Degree Name
Degree Field
Degree Grantor
Commencement Year
Advisor
Committee Member
Academic Affiliation
Non-Academic Affiliation
Subject
Déclaration de droits
Publisher
Language
Digitization Specifications
  • File scanned at 300 ppi (Monochrome) using Capture Perfect 3.0.82 on a Canon DR-9080C in PDF format. CVista PdfCompressor 4.0 was used for pdf compression and textual OCR.
Replaces

Des relations

Parents:

This work has no parents.

Dans Collection:

Articles