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International Market Integration Under Wto: Evidence In The Price Behaviors Of Chinese And Us Wheat Futures

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  • Du, Wen

Abstract

China's 10-year old wheat futures market, the China Zhengzhou Commodity Exchange (CZCE) has been in stable development since establishment and is expected to be integrated to the world market after China joined WTO. This paper compares the price behavior of CZCE with that of the Chicago Board of trade (CBOT) in the US using ARCH/GARCH based univariate and multivariate time series models for the period between 1999 and 2003, around when China joined the World Trade Organization (WTO). Results show both markets can be modeled by an ARCH (1) or a GARCH (1,1), and the models have better fit when conditional error variance is t distributed. The price series in CZCE and CBOT are interrelated but not cointegrated. The existing interrelations between the two markets are significant and asymmetric, where CBOT holds a dominant position in the interactions while CZCE is more like a follower.

Suggested Citation

  • Du, Wen, 2004. "International Market Integration Under Wto: Evidence In The Price Behaviors Of Chinese And Us Wheat Futures," 2004 Annual meeting, August 1-4, Denver, CO 20115, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  • Handle: RePEc:ags:aaea04:20115
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    References listed on IDEAS

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    1. Angus Deaton & Guy Laroque, 1992. "On the Behaviour of Commodity Prices," Review of Economic Studies, Oxford University Press, pages 1-23.
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    Cited by:

    1. Hossein-Yekani, Seyed-Ali & Bakhshoodeh, Mohammad, 2006. "The importance of developing future contracts: a case study of Iran Agricultural Commodity Exchanges," MPRA Paper 29593, University Library of Munich, Germany.

    More about this item

    Keywords

    integration; wheat; futures price; GARCH; China; Demand and Price Analysis; International Relations/Trade; G15; Q14;

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Q14 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Finance

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