Abstract
This study examined the price discovery process in the South African futures and spot markets for white maize. Engle-Granger and Johansen tests of cointegration were performed after which an Error Correction Model, Vector Error Correction Model and Impulse Response functions were formulated representing the long-run relationship between spot and futures prices for white maize. It was found that spot and futures prices for white maize were cointegrated indicating the presence of a long-run relationship between spot and futures prices. Further study on this relationship indicated that price discovery occurred in the spot market. The paper concludes by discussing the policy implications of this finding. Key words: Price discovery, spot market, futures market, cointegration.
Sign-in/Register to access full text options 
Free) 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
