Efficiency tests of agricultural commodity futures markets in China
AbstractThe 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 cashmarkets and six different futures forecasting horizons ranging from1 week to 4 months.The results suggest a long-termequilibrium 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 overspeculation and government intervention.
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Bibliographic InfoArticle provided by Australian Agricultural and Resource Economics Society in its journal Australian Journal of Agricultural and Resource Economics.
Volume (Year): 49 (2005)
Issue (Month): 2 (June)
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cointegration; futures market; price; soybean; wheat; Marketing; Risk and Uncertainty;
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