PUTTING ON THE CRUSH论文

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1、PUTTINGONTHECRUSH...MARKETSTRUCTURE,INFORMATIONANDTHESOYBEANCOMPLEXDominicRechnerB.A.(Economics),SimonFraserUniversity1987THESISSUBMITTEDINPARTIALFULFILLMENTOFTHEREQUIREMENTSFORTHEDEGREEOFMASTEROFARTSintheDepartmentofEconomicsDominicRechner1989SIMONFRASERUNIVERSITYNovember1989Allrightsrese

2、rved.Thisworkmaynotbereproducedinwholeorinpart,byphotocopyorothermeans,withoutpermissionoftheauthor.APPROVALName:DominicRechnerDegree:M.A.(Economics)TitleofThesis:"PuttingontheCrush"...MarketStructure,InformationandtheSoybeanComplexExaminingCommittee:Chairman:S.Easton---flMI-elBowe2Assista

3、ntProfessorSeniorSupervisoroffreyPoitrassistantProfessor"-V-GdorgeBlazenko-AssistantProfessor.~indsay-~eyedithr'Associateprofessofi'BusinessAdministrationExternalExaminerDateApproved:PARTIALCOPYRIGHTLICENSEIherebygranttoSimonFraserUniversitytherighttolendmythesis,projectorextendedessay(the

4、titleofwhichisshownbelow)tousersoftheSimonFraserUniversityLibrary,andtomakepartialorsinglecopiesonlyforsuchusersorinresponsetoarequestfromthelibraryofanyotheruniversity,orothereducationalinstitution,onitsownbehalforforoneofitsusers.Ifurtheragreethatpermissionformultiplecopyingofthisworkfor

5、scholarlypurposesmaybegrantedbymeortheDeanofGraduateStudies.Itisunderstoodthatcopyingorpublicationofthisworkforfinancialgainshallnotbeallowedwithoutmywrittenpermission.TitleofThesis/Project/ExtendedEssay"Puttingonthecrush"...MarketStructure,InformationandtheSoybeanComplex.(signature)Domini

6、cRechner(name)6December1989(date)ABSTRACTThisstudyexploresefficiencyinaspeculativecompetitivemarket.Fromadiscussionofthetheoreticalaspectsoftheefficientmarkethypothesisandthestructureoffuturesmarkets,"disequilibrium"pricingisrationalizedonthebasisofmarketimperfectionsintheinformationalaspe

7、ctofmarkets.SpreadstrategiesareusedtotestfordependencyandweakformefficiencyontheChicagoBoardofTrade.Theyareappliedtodailyfuturespricesforthecommoditiesofthesoybeancomplex.Theresultsarefreeofsamplingbiasandreasonabletrading,costsareconsidered.Theempiricalresul