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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
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)
Contact details of provider:
Postal: AARES Central Office Manager, Crawford School of Public Policy, ANU, Canberra ACT 0200
Phone: 0409 032 338
Web page: http://www.aares.info
More information through EDIRC
cointegration; futures market; price; soybean; wheat; Marketing; Risk and Uncertainty;
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Andrew McKenzie & Matthew Holt, 2002.
"Market efficiency in agricultural futures markets,"
Taylor & Francis Journals, vol. 34(12), pages 1519-1532.
- McKenzie, Andrew M. & Holt, Matthew T., 1998. "Market Efficiency In Agricultural Futures Markets," 1998 Annual meeting, August 2-5, Salt Lake City, UT 20933, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
- Osterwald-Lenum, Michael, 1992. "A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 461-72, August.
- Psaradakis, Zacharias, 1994. "A comparison of tests of linear hypotheses in cointegrated vector autoregressive models," Economics Letters, Elsevier, vol. 45(2), pages 137-144, June.
- Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
- Hansen, Lars Peter & Hodrick, Robert J, 1980. "Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis," Journal of Political Economy, University of Chicago Press, vol. 88(5), pages 829-53, October.
- Phillips, Peter C B & Hansen, Bruce E, 1990.
"Statistical Inference in Instrumental Variables Regression with I(1) Processes,"
Review of Economic Studies,
Wiley Blackwell, vol. 57(1), pages 99-125, January.
- Tom Doan, . "FM: RATS procedure to estimate cointegrating vectors using Fully Modified Least Squares," Statistical Software Components RTS00069, Boston College Department of Economics.
- repec:ddj:fserec:y:2012:p:31-38 is not listed on IDEAS
- Shi Zheng & Pei Xu & Zhigang Wang, 2011. "Factors affecting Chinese enterprises' hedging decision making," China Agricultural Economic Review, Emerald Group Publishing, vol. 3(4), pages 476-488, November.
- Pankaj Kumar GUPTA & Sunita RAVI, 2012. "Commodity Market Inefficiencies and Inflationary Pressures - India’s Economic Policy Dilemma," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 31-34.
- Jabir Ali & Kriti Bardhan Gupta, 2011. "Efficiency in agricultural commodity futures markets in India: Evidence from cointegration and causality tests," Agricultural Finance Review, Emerald Group Publishing, vol. 71(2), pages 162-178, July.
- Singh, N.P. & Kumar, Ranjit & Singh, R.P. & Jain, Praveen Kumar, 2005. "Is Futures Market Mitigating Price Risk: An Exploration of Wheat and Maize Market," Agricultural Economics Research Review, Agricultural Economics Research Association (India), vol. 18(2005).
- Wen-Ge Fu & Sizhong Sun & Zhang-Yue Zhou, 2011. "Technical efficiency of food processing in China: the case of flour and rice processing," China Agricultural Economic Review, Emerald Group Publishing, vol. 3(3), pages 321-334, September.
- Inoue, Takeshi & Hamori, Shigeyuki, 2012. "Market efficiency of commodity futures in India," IDE Discussion Papers 370, Institute of Developing Economies, Japan External Trade Organization(JETRO).
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (AgEcon Search).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.