The Distributional Behavior of Futures Price Spreads

Posted: 16 Jan 2001

See all articles by Min-Kyoung Kim

Min-Kyoung Kim

Information and Communications University (ICU)

Raymond M. Leuthold

University of Illinois @ Urbana-Champaign

Abstract

The distributional behavior of futures price spreads is examined for four commodities: corn, live cattle, gold and T-bonds. Remarkably different results are found over commodities, time period, and sample size. Actual spread changes for the smaller sample size of gold and T-bonds and for corn produce more normal distributions for weekly than for daily differencing intervals, while all live cattle spreads for actual changes are normally distributed. However, the larger sample size of both gold and T-bonds and the relative spread changes for corn and live cattle do not become more normally distributed under temporal aggregation of the data.

Keywords: corn, futures price spreads, gold, goodness of fit, live cattle, normality tests, spread distributions, T-bonds.

Suggested Citation

Kim, Min-Kyoung and Leuthold, Raymond M., The Distributional Behavior of Futures Price Spreads. Journal of Agricultural & Applied Economics, Vol. 32, No. 1, April 2000. Available at SSRN: https://ssrn.com/abstract=244625

Min-Kyoung Kim

Information and Communications University (ICU) ( email )

P.O.Box 77
Yusong, Taejon, 305-600
Korea

Raymond M. Leuthold (Contact Author)

University of Illinois @ Urbana-Champaign ( email )

1301 W. Gregory Drive
326 Mumford Hall
Urbana, IL 61801
United States
217-333-1810 (Phone)
217-333-5538 (Fax)

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