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Market Efficiency in the Non-Genetically Modified Soybean Futures Market

Listed author(s):
  • Aruga Kentaka

    (Institute for Global Environmental Strategies)

The world's first non-genetically modified (non-GM) soybean futures market opened in May 2000 but no studies have tested whether this market transmits price information efficiently. This study investigates the market efficiency of the non-GM and conventional soybean futures markets and their information flow between the futures and spot prices. The Johansen cointegration test is used for this purpose. The results suggest that both the non-GM and conventional soybean futures markets are efficient, but the non-GM soybean futures market is relatively inefficient compared to the conventional soybean futures market. In both soybean futures markets long-run information flow was found from the spot market to the futures market and existence of such causality supports that these futures markets function efficiently.

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File URL: https://www.degruyter.com/view/j/jafio.2011.9.issue-1/1542-0485.1345/1542-0485.1345.xml?format=INT
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Article provided by De Gruyter in its journal Journal of Agricultural & Food Industrial Organization.

Volume (Year): 9 (2011)
Issue (Month): 1 (December)
Pages: 1-13

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Handle: RePEc:bpj:bjafio:v:9:y:2011:i:1:n:11
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  1. Bopp, Anthony E. & Lady, George M., 1991. "A comparison of petroleum futures versus spot prices as predictors of prices in the future," Energy Economics, Elsevier, vol. 13(4), pages 274-282, October.
  2. Aruga, Kentaka & Managi, Shunsuke, 2011. "Testing the international linkage in the platinum-group metal futures markets," Resources Policy, Elsevier, vol. 36(4), pages 339-345.
  3. Kentaka Aruga, 2011. "Are the Tokyo Grain Exchange non-genetically modified organism (non-GMO) and conventional soybean futures markets integrated?," Agricultural Finance Review, Emerald Group Publishing, vol. 71(1), pages 84-97, May.
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