Date of Graduation
5-2016
Document Type
Thesis
Degree Name
Master of Science in Agricultural Economics (MS)
Degree Level
Graduate
Department
Agricultural Economics and Agribusiness
Advisor/Mentor
McKenzie, Andrew M.
Committee Member
Thomsen, Michael R.
Second Committee Member
Ahrendsen, Bruce L.
Keywords
Pure sciences; Social sciences; Basis; Futures market; Non-linear; Spread trading; Stock-to-use ratio- WASDE
Abstract
The non-linear relationship between old crop – new crop year spreads in corn futures market and stock-to-use (S-U) ratios published by the United States Department of Agriculture is analyzed. Using a non-linear logarithmic smooth transition regression (LSTR) model, we capture asymmetric market behaviors in high and low S-U regimes. Capturing this relationship and understanding the non-linear aspects of the relationship is of interest of grain merchandizers and speculators in the market. A spread trading strategy is simulated for the sample period, January 1985 through April 2015, to determine if the non-linear relationship is a profitable arbitrage opportunity in the market.
Citation
Napier, R. D. (2016). Spread Trading in Corn Futures Market. Graduate Theses and Dissertations Retrieved from https://scholarworks.uark.edu/etd/1519
