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Do natural rubber price bubbles occur?

Author

Listed:
  • Chi-Wei Su

    (School of Economics, Qingdao University, Qingdao, China)

  • Lu Liu

    (Department of Finance, Ocean University of China, Qingdao, China)

  • Ran Tao

    (Technological Center, Qingdao Municipal Center for Disease Control & Preventation, Qingdao, China)

  • Oana-Ramona Lobonţ

    (Department of Finance, West University of Timisoara, Timisoara, Romania)

Abstract

In this paper, we employ the Generalized Supremum Augmented Dickey-Fuller test in order to identify the existence of multiple bubbles in natural rubber. This approach is practical for the using of time series and identifies the beginning and end points of multiple bubbles. The results reveal that there are five bubbles, where exist the divergences between natural rubber prices and their basic values on account of market fundamentals. The five bubbles are related to imbalance between supply and demand, inefficiencies of smallholders market, oil prices, exchange rate and climatic changes through analyses. Thus, the corresponding authorities are supposed to identify bubbles and consider their evolutions, which is beneficial to the stability of natural rubber price.

Suggested Citation

  • Chi-Wei Su & Lu Liu & Ran Tao & Oana-Ramona Lobonţ, 2019. "Do natural rubber price bubbles occur?," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 65(2), pages 67-73.
    • Handle: RePEc:caa:jnlage:v:65:y:2019:i:2:id:151-2018-agricecon
    DOI: 10.17221/151/2018-AGRICECON
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    References listed on IDEAS

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    1. Peter C. B. Phillips & Shuping Shi & Jun Yu, 2014. "Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behaviour," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 76(3), pages 315-333, June.
    2. Chang, Chia-Lin & Khamkaew, Thanchanok & McAleer, Michael & Tansuchat, Roengchai, 2011. "Modelling conditional correlations in the volatility of Asian rubber spot and futures returns," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(7), pages 1482-1490.
    3. Evans, George W, 1991. "Pitfalls in Testing for Explosive Bubbles in Asset Prices," American Economic Review, American Economic Association, vol. 81(4), pages 922-930, September.
    4. Han Hwa Goh & Kim Leng Tan & Chia Ying Khor & Sew Lai Ng, 2016. "Volatility and Market Risk of Rubber Price in Malaysia: Pre- and Post-Global Financial Crisis," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 14(2), pages 323-344, December.
    5. Zhang, Yue-Jun & Yao, Ting, 2016. "Interpreting the movement of oil prices: Driven by fundamentals or bubbles?," Economic Modelling, Elsevier, vol. 55(C), pages 226-240.
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    Cited by:

    1. Kepulaje Abhaya Kumar & Prakash Pinto & Iqbal Thonse Hawaldar & Cristi Spulbar & Ramona Birau, 2021. "Crude oil futures to manage the price risk of natural rubber: Empirical evidence from India," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 67(10), pages 423-434.
    2. Khaswarina, Shorea & Sucherly & Kaltum, Umi & Ariawaty, R. Rina Novianti, 2021. "Market-Based Strategy to Anticipate Covid-19 Pandemic in Smallholder Rubber Plantations in Riau Province, Indonesia," Asian Journal of Agriculture and Rural Development, Asian Economic and Social Society (AESS), vol. 11(03), January.

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