Efficiency tests of agricultural commodity futures markets in China

Efficiency tests of agricultural commodity futures markets in China 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. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png The Australian Journal of Agricultural Resource Economics Wiley

Efficiency tests of agricultural commodity futures markets in China

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Publisher
Wiley
Copyright
Copyright © 2005 Wiley Subscription Services, Inc., A Wiley Company
ISSN
1364-985X
eISSN
1467-8489
DOI
10.1111/j.1467-8489.2005.00283.x
Publisher site
See Article on Publisher Site

Abstract

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.

Journal

The Australian Journal of Agricultural Resource EconomicsWiley

Published: Jun 1, 2005

Keywords: ; ; ; ;

References

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