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An Intervention Analysis on the Tokyo Grain Exchange Non- Genetically Modified and Conventional Soybean Futures Market

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  • Aruga, Kentaka

Abstract

This paper examines how efficiently the price premium for non-genetically modified (non-GM) soybeans at the Tokyo Grain Exchange (TGE) react to an announcement to change the contract unit, suppliers, and expiration date on the conventional soybean futures contract. Intervention analysis is used for this purpose. The results reveal that the price premium for non-GM soybeans increases after the change and this effect remains at least for a month. Hence, prices of the two soybean futures markets did not respond quickly to the announcement and there was an informational inefficiency after the announcement occurred.

Suggested Citation

  • Aruga, Kentaka, 2011. "An Intervention Analysis on the Tokyo Grain Exchange Non- Genetically Modified and Conventional Soybean Futures Market," MPRA Paper 36088, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:36088
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    References listed on IDEAS

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    1. Parcell, Joseph L., 2001. "An Initial Look At The Tokyo Grain Exchange Non-Gmo Soybean Contract," Journal of Agribusiness, Agricultural Economics Association of Georgia, vol. 19(1), pages 1-8.
    2. McCluskey, Jill J. & Grimsrud, Kristine M. & Ouchi, Hiromi & Wahl, Thomas I., 2003. "Consumer Response to Genetically Modified Food Products in Japan," Agricultural and Resource Economics Review, Cambridge University Press, vol. 32(2), pages 222-231, October.
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    4. Wallace E. Huffman, 2003. "Consumers' Acceptance of (and Resistance to) Genetically Modified Foods in High-Income Countries: Effects of Labels and Information in an Uncertain Environment," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 85(5), pages 1112-1118.
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    6. Aruga Kentaka, 2011. "Market Efficiency in the Non-Genetically Modified Soybean Futures Market," Journal of Agricultural & Food Industrial Organization, De Gruyter, vol. 9(1), pages 1-13, December.
    7. Fama, Eugene F, 1991. "Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-1617, December.
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    9. Wachenheim, Cheryl J. & Vanwechel, Tamara, 2004. "The Influence Of Environmental-Impact Information On Consumer Willingness To Pay For Products Labeled As Free Of Genetically Modified Ingredients," Journal of Food Distribution Research, Food Distribution Research Society, vol. 35(2), pages 1-13, July.
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    Cited by:

    1. Peter Shnurkov & Daniil Novikov, 2018. "Analysis of the problem of intervention control in the economy on the basis of solving the problem of tuning," Papers 1811.10993, arXiv.org.

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    More about this item

    Keywords

    price premium; non-genetically modified soybeans; conventional soybeans; intervention analysis; Tokyo Grain Exchange;
    All these keywords.

    JEL classification:

    • O13 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Agriculture; Natural Resources; Environment; Other Primary Products
    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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