Progress 10/01/98 to 09/30/03
Outputs
Commodity exchanges in Asia have moved to electronic trading much earlier than their counterparts in the US. Yet, as the research under AD-421 has shown, the three principal exchanges in Asia, the Tokyo Grain Exchange, the Dalian Commodity Exchange, and the China Zhengzhou Commodity differ among themselves in subtle dimensions, especially concerning the precise terms for the delivery of a specified commodity, the periodicity of trading, and the encouragement of speculators.
Impacts
All of these factors affect the prices received by US exporters, if only slightly.
Publications
- 'How the Dispersion of Information Influences the Informational Content of Pledges During Tatonnement Auctions.' 2004
- 'The Volume-Volatility Relationship During Walrasian Tatonnement Auctions.' 2004
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Progress 01/01/02 to 12/31/02
Outputs
In June 2002, Holly Liu completed her dissertation, using transaction-by transaction data from the Dalian Futures Exchange. She, Oscar Jorda (of the Economics Department), and I have revised a paper titled "Market Making Behavior on the Dalian Futures Exchange", but it awaits a few more adjustments before submission. Meanwhile, James Eaves, who in March 2001 finished his dissertation on the auctions conducted at the Tokyo Grain Exchange, has returned for a post-doc. Several papers from his dissertation are now in draft.
Impacts
(N/A)
Publications
- No publications reported this period
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Progress 01/01/01 to 12/31/01
Outputs
At the annual NCR-134 conference on applied commodity price analysis, Holly Liu presented a paper from her dissertation (jointly authored with me and Oscar Jorda of the Economics Department) titled "Market Making Behavior on the Dalian Futures Exchange". As I had explained in a previous report, she had obtained transaction-by-transaction data from this new commodity exchange in China. Her dissertation was all but finished at the end of the year. At the same conference, held in St. Louis in April, I presented a paper "Arbitrage on the Tokyo Grain Exchange." This paper was written jointly with James Eaves, who in March finished his dissertation on the auctions conducted at the Tokyo Grain Exchange. In November, I presented a paper "House Traders on the Tokyo Grain Exchange" at the Commodity Futures Trading Commission in Washington, D.C.
Impacts
(N/A)
Publications
- Williams, J. C. 2001. Commodity futures and options. Chapter 13 in: @Handbook of Agricultural Economics@, volume 1 / B. Gardner and G. Rausser, editors. Elsevier Science B.V., pp. 746-816.
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Progress 01/01/00 to 12/31/00
Outputs
During 2000, three papers were presented to the staff of the Tokyo Grain Exchange, using the extraordinary data sets they have made available and have been described in earlier reports. This advisee, James Eaves, has developed this research, principally about the corn market, into his dissertation, which he should finish in early 2001. Another dissertation advisee, Holly Liu, obtained in July detailed trading records from the Dalian Exchange about their new electronic soybean futures market, which allowed her to proceed with a prospectus and orals.
Impacts
(N/A)
Publications
- Wright, B. D. and Williams, J. C. 2000. Theory of negative prices for storage. Journal of Futures Markets, Millennium Issue, Vol. 20 no. 1, pp. 59-71.
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Progress 01/01/99 to 12/31/99
Outputs
The Tokyo Grain Exchange, which trades futures contracts electronically in periodic auctions, has made available an expanded data set. Much of the past year has been spent obtaining these data and preparing them for use in research papers. The TGE has made available the session-by-session records of the proprietary trading (the "house" trading) for all its 85 brokers for all its commodities for the last ten years. It has also made available transcripts of auctions for redbeans and US corn, for the last three years, a total of 40,000 auctions.
Impacts
(N/A)
Publications
- Williams, J.C. and Isham, B.A. 1999. Processing industry capacity and the welfare effects of sugar policies. American Journal of Agricultural Economics 81:425-441.
- Ray, I. and Williams, J. 1999. Evaluation of price policy in the presence of water theft. American Journal of Agricultural Economics 81(4):928-941.
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Progress 01/01/98 to 12/31/98
Outputs
The most advanced commodity exchanges in Asia is the Tokyo Grain Exchange, which trades futures contracts electronically in periodic auctions. The TGE introduced a coffee contract in June 1998, modeled after existing markets in New York and London but specific to practices in the Japanese coffee trade. Another successful exchange in Asia is the China Zhengzhou Commodity Exchange, which trades wheat and mungbeans. Many exchanges were started in China; the CZCE, an electronic market, is one of the few to have prospered. The CZCE followed a very different path for development of its futures markets than the path espoused by US exchanges. The CZCE concluded that commerical channels were so underdeveloped in China that they would lead by setting trading styles through the futures market, pulling the commericial trade with them. Extensive and rare data made available by the TGE for their markets in US corn and red beans over 1996-1998 allow a comprehensive study of the
"house traders" at brokerage firms. It emerges that these house traders collectively are the major source of liquidity on the Exchange, and a strong influence on the market's balance at particular prices. Yet the majority of house traders do not make money over extended periods, which leaves open the question of why they continue to trade.
Impacts
(N/A)
Publications
- WILLIAMS, J., PECK, A, PARK, A, AND ROZELLE, S. 1998. The emergence of a futures market: Mungbeans on the China Zhengzhou Commodity Exchange. Journal of Futures Markets, 18 (1998): 427-448.
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