The efficiency of the Chinese wheat and soybean futures markets is studied. Formal statistical tests were conducted based on Johansen's cointegration approach for three different cash markets and six different futures forecasting horizons ranging from 1 week to 4 months. The results suggest a long‐term equilibrium relationship between the futures price and cash price for soybeans and weak short‐term efficiency in the soybean futures market. The futures market for wheat is inefficient, which may be caused by over‐speculation and government intervention.
The Australian Journal of Agricultural Resource Economics – Wiley
Published: Jun 1, 2005
Keywords: ; ; ; ;
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