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The Effect of Structural Change on Information Flow Between the U.S. and Chinese Agricultural Futures Markets

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  • Kuei-Chih Lee
  • Ching-Chung Lin
  • Tung Liang Liao

Abstract

This article examines the effect of structural change on the flow of information between the agricultural futures markets of the United States and China after 2002. Structural changes are found for futures price series in exchanges in both countries—specifically, the Chicago Board of Trade, the New York Board of Trade, the Dalian Commodity Exchange, and the Zhengzhou Commodity Exchange. The structural change generally occurred during the 2007-8 financial crisis. The two cotton futures markets are integrated, as are the two soybean futures markets, indicating that a long-run equilibrium relationship exists in their respective related markets. However, the Chicago and Dalian corn futures markets were not integrated after the structural change. The Chinese corn and soybean markets are found to play a leading role in transmitting information to the U.S. markets, a result that confirms the importance of China as a major producer and consumer of a range of international agricultural commodities. The results for cotton futures indicate that the New York market does not dominate the Zhengzhou market in informational efficiency. Both markets are efficient at incorporating information on a daily basis.

Suggested Citation

  • Kuei-Chih Lee & Ching-Chung Lin & Tung Liang Liao, 2013. "The Effect of Structural Change on Information Flow Between the U.S. and Chinese Agricultural Futures Markets," Chinese Economy, Taylor & Francis Journals, vol. 46(4), pages 25-48, July.
    • Handle: RePEc:mes:chinec:v:46:y:2013:i:4:p:25-48
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    Cited by:

    1. Claudia Wellenreuther & Jan Voelzke, 2019. "Speculation and volatility—A time‐varying approach applied on Chinese commodity futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(4), pages 405-417, April.
    2. Martin T. Bohl & Pierre L. Siklos & Claudia Wellenreuther, 2018. "Speculative activity and returns volatility of Chinese major agricultural commodity futures," CAMA Working Papers 2018-06, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    3. Bohl, Martin T. & Siklos, Pierre L. & Wellenreuther, Claudia, 2018. "Speculative activity and returns volatility of Chinese agricultural commodity futures," Journal of Asian Economics, Elsevier, vol. 54(C), pages 69-91.

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