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Efficiency tests of agricultural commodity futures markets in China

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  • H. Holly Wang
  • Bingfan Ke
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    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. Copyright 2005 Australian Agricultural and Resource Economics Society Inc. and Blackwell Publishing Asia Pty Ltd..

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    Bibliographic Info

    Article provided by Australian Agricultural and Resource Economics Society in its journal The Australian Journal of Agricultural and Resource Economics.

    Volume (Year): 49 (2005)
    Issue (Month): 2 (06)
    Pages: 125-141

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    Handle: RePEc:bla:ajarec:v:49:y:2005:i:2:p:125-141

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    Cited by:
    1. 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, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 31-34.
    2. 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, Emerald Group Publishing, vol. 3(3), pages 321-334, September.
    3. Mohamed El Hedi Arouri & Shawkat Hammoudeh & Duc Khuong Nguyen & Amine Lahiani, 2013. "On the short- and long-run efficiency of energy and precious metal markets," Working Papers hal-00798036, HAL.
    4. Liu, Qingfu & Wong, Ieokhou & An, Yunbi & Zhang, Jinqing, 2014. "Asymmetric Information and Volatility Forecasting in Commodity Futures Markets," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 26(C), pages 79-97.
    5. Inoue, Takeshi & Hamori, Shigeyuki, 2012. "Market efficiency of commodity futures in India," IDE Discussion Papers, Institute of Developing Economies, Japan External Trade Organization(JETRO) 370, Institute of Developing Economies, Japan External Trade Organization(JETRO).
    6. 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), Agricultural Economics Research Association (India), vol. 18(2005).
    7. Mazouz, Khelifa & Wang, Jian, 2014. "Are commodity futures markets short-term efficient? An empirical investigation," 88th Annual Conference, April 9-11, 2014, AgroParisTech, Paris, France, Agricultural Economics Society 169763, Agricultural Economics Society.
    8. 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, Emerald Group Publishing, vol. 71(2), pages 162-178, July.
    9. Shi Zheng & Pei Xu & Zhigang Wang, 2011. "Factors affecting Chinese enterprises' hedging decision making," China Agricultural Economic Review, Emerald Group Publishing, Emerald Group Publishing, vol. 3(4), pages 476-488, November.
    10. Yang Hou & Steven Li, 2013. "Price Discovery in Chinese Stock Index Futures Market: New Evidence Based on Intraday Data," Asia-Pacific Financial Markets, Springer, Springer, vol. 20(1), pages 49-70, March.
    11. repec:ddj:fserec:y:2012:p:31-38 is not listed on IDEAS

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