Document Type

Thesis - Open Access

Award Date

2024

Degree Name

Master of Science (MS)

Department / School

Economics

First Advisor

Zhouxin Li

Abstract

This study delves into the occurrence and differentiation of significant price jumps in agricultural commodity markets, challenging the conventional belief that such movements are solely driven by exogenous factors. Existing literature has primarily focused on the impact of news on agricultural commodity prices, neglecting the distinction between endogenous and exogenous price spikes. I aim to identify and categorize both types of price spikes in corn, soybean, and wheat futures markets. I propose a comprehensive methodology involving the collection of agricultural news, non-parametric price jump detection, and differentiation between exogenous (newsdriven) and endogenous (non-news related) price spikes. By utilizing intraday price data from the CME Group, I will compare any two consecutive jumps specified by a Bernoulli null hypothesis, and aggregate single jumps into clusters of jumps. I investigate whether endogenous events result from a self-exciting stochastic process. This research lends support to both exogenous and endogenous jumps, providing insights into the efficiency of agricultural commodity markets.

Publisher

South Dakota State University

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Rights Statement

In Copyright