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Identification and Management of Price Bubbles in Chinese Soybean Futures

In: Proceedings of the 2024 2nd International Conference on Digital Economy and Management Science (CDEMS 2024)

Author

Listed:
  • Yu Zhao

    (East China University of Technology, School of Economic and Management
    Center for Research on Resource and Environmental Economics of East China University of Technology)

  • Zhiming Wu

    (East China University of Technology, School of Economic and Management)

  • Juntao Zhang

    (East China University of Technology, School of Economic and Management)

Abstract

Utilizing daily data from 2019 to 2022, the GSADF method was employed to test the price volatility in the soybean futures market and Granger causality test was employed to analyze the internal relationship of price bubbles among them. The results indicate the presence of price bubbles in all four product categories in China’s soybean futures market in recent years. The risk levels and characteristics vary among the four products, with the highest to lowest risk levels being Soybean Oil, Yellow Soybean 1, Soybean Meal, and Yellow Soybean 2. Long-duration bubbles are predominant in Soybean Oil and Yellow Soybean 1, while short-duration bubbles prevail in Yellow Soybean 2 and Soybean Meal. The price risk in the soybean oil futures market is relatively independent. The price risk of yellow soybean 1 is influenced by the fluctuations in yellow soybean 2 and soybean meal prices. There is a bidirectional contagious relationship between the price risks of yellow soybean 2 and soybean meal. Based on the research findings, effective responses to the risks of price bubbles in soybean futures should include the establishment of an early warning system, the development of a comprehensive information disclosure system, and the adoption of a regulatory strategy focusing on gradation and key areas.

Suggested Citation

  • Yu Zhao & Zhiming Wu & Juntao Zhang, 2024. "Identification and Management of Price Bubbles in Chinese Soybean Futures," Advances in Economics, Business and Management Research, in: Junfeng Liao & Hongbo Li & Edward H. K. Ng (ed.), Proceedings of the 2024 2nd International Conference on Digital Economy and Management Science (CDEMS 2024), pages 144-151, Springer.
    • Handle: RePEc:spr:advbcp:978-94-6463-488-4_16
    DOI: 10.2991/978-94-6463-488-4_16
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