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
Andrew McKenzie
Committee Member
Michael Thomsen
Second Committee Member
Bruce Ahrendsen
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