*Article* **Price Discovery and Market Reflexivity in Agricultural Futures Contracts with Di** ff**erent Maturities**

#### **Ste** ff**en Volkenand \*, Günther Filler and Martin Odening**

Department of Agricultural Economics, Humboldt-Universität zu Berlin, 10099 Berlin, Germany; guenther.filler@agrar.hu-berlin.de (G.F.); m.odening@agrar.hu-berlin.de (M.O.) **\***Correspondence:steffen.volkenand@agrar.hu-berlin.de

Received: 12 May 2020; Accepted: 8 July 2020; Published: 11 July 2020

**Abstract:** The purpose of this paper is to analyze market reflexivity in agricultural futures contracts with di fferent maturities. To this end, we apply a four-dimensional Hawkes model to storable and non-storable agricultural commodities. We find market reflexivity for both storable and non-storable commodities. Reflexivity accounts for about 50 to 70% of the total trading activity. Di fferences between nearby and deferred contracts are less pronounced for non-storable than for storable commodities. We conclude that the co-existence of exogenous and endogenous price dynamics does not change qualitative characteristics of the price discovery process that have been observed earlier without the consideration of market reflexivity.

**Keywords:** agricultural commodity futures; price discovery; market reflexivity; Hawkes process

**JEL Classification:** G14; C49
