THRESHOLD EFFECTS IN FOOD AND AGRIBUSINESS STOCK PRICE MARKETS

This study investigates the dynamics of agribusiness stock returns and the market return for 22 firms in a switching-regression framework. Threshold levels and regression slopes are estimated and tested. Results indicate how parameters differ for alternative regimes, at what levels dynamic adjustments take place, and the adjustment time involved.

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Year of publication:	2001
Authors:	Wilson, Christine A. ; Featherstone, Allen M. ; Kastens, Terry L.
Institutions:	Agricultural and Applied Economics Association - AAEA
Subject:	Marketing

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Extent:	application/pdf
Series:	2001 Annual meeting, August 5-8, Chicago, IL.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series 2001 Annual meeting, August 5-8, Chicago, IL Number 20591
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005503671