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Efficiency tests of agricultural commodity futures markets in China

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  • Wang, H. Holly
  • Ke, Bingfan

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 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.

Suggested Citation

  • Wang, H. Holly & Ke, Bingfan, 2005. "Efficiency tests of agricultural commodity futures markets in China," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 49(2), pages 1-17.
    • Handle: RePEc:ags:aareaj:118441
    DOI: 10.22004/ag.econ.118441
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