Linkages among the non-genetically modified soybean, conventional soybean, and corn futures markets in the Tokyo Grain Exchange
AbstractThe market linkages among the non-genetically modified (non-GM) soybean, conventional soybean, and cor futures markets at the Tokyo Grain Exchange are investigated to find out if the two soybean futures markets and the corn futures market share price information in the presence of unknown breaks. The results reveal that there are market linkages between the non-GM and conventional soybean futures prices and between the non-GM soybean and corn futures prices and that these markets do influence one another. Yet the breaks found in the soybean futures price affected these linkages and there were periods where the two soybean and corn futures markets were not cointegrated. Hence these markets are efficient when the effect from the breaks is not apparent but they become inefficient when the breaks are affecting the three markets.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 36101.
Date of creation: 18 Apr 2011
Date of revision:
non-genetically modified soybeans; conventional soybeans; corn; cointegration test; structural change;
Find related papers by JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- Q13 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Markets and Marketing; Cooperatives; Agribusiness
- Q14 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Finance
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