INFORMATION SHARES IN CANADIAN AGRICULTURAL CASH AND FUTURES MARKETS

This paper examines the information shares in four pairs of Canadian a gricultural cash and futures markets by exploring their cointegrating relationships. Using error correction models (ECMs) and Hasbrouck's ec onometric method of estimating information shares, the results show th at the price discovery process is most pronounced in the futures marke t. The identification and quantification of the dominant market of pri ce discovery is of great interest to both hedgers and speculators. The advantage of Hasbrouck's technique is that it facilitates the quantif ication of the concept of price discovery and market dominance.