IDEAS home Printed from https://ideas.repec.org/a/bla/ajarec/v69y2025i2p453-470.html
   My bibliography  Save this article

Do China's Agricultural Futures Overreact to U.S. Futures Markets Returns? Evidence From Soybean and Corn Futures

Author

Listed:
  • Tao Xiong
  • Wenshu Lv
  • Guangcheng Fang
  • Weiyi Xia

Abstract

This study investigates the characteristics of traders' overreaction behaviour in China's soybean and corn futures markets to the overnight performance of U.S. futures markets and examines the impacts of the night trading policy on such overreaction behaviour. Our results reveal that traders in China generally overreact to U.S. markets' performance, but the overreaction diminishes when traders have enough time to calm their emotions. We also find that the introduction of night trading implemented by China's futures exchanges significantly reduces daytime overreaction because the extension of trading hours ensures that unexpected information is promptly reflected during night trading sessions. The proposed trading strategy of exploiting the overreaction generates considerable profits. However, it has not worked since the introduction of night trading, which further confirms the policy effect of night trading. Our study provides valuable guidance for futures exchanges seeking to monitor overreaction behaviour and formulate policies to target such behaviour.

Suggested Citation

  • Tao Xiong & Wenshu Lv & Guangcheng Fang & Weiyi Xia, 2025. "Do China's Agricultural Futures Overreact to U.S. Futures Markets Returns? Evidence From Soybean and Corn Futures," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 69(2), pages 453-470, April.
    • Handle: RePEc:bla:ajarec:v:69:y:2025:i:2:p:453-470
    DOI: 10.1111/1467-8489.12616
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/1467-8489.12616
    Download Restriction: no
    File URL: https://libkey.io/10.1111/1467-8489.12616?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:ajarec:v:69:y:2025:i:2:p:453-470. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/aaresea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.