Linkages among the non-genetically modified soybean, conventional soybean, and corn futures markets in the Tokyo Grain Exchange
The market linkages among the non-genetically modified (non-GM) soybean, conventional soybean, and cor futures markets at the Tokyo Grain Exchange are investigated to find out if the two soybean futures markets and the corn futures market share price information in the presence of unknown breaks. The results reveal that there are market linkages between the non-GM and conventional soybean futures prices and between the non-GM soybean and corn futures prices and that these markets do influence one another. Yet the breaks found in the soybean futures price affected these linkages and there were periods where the two soybean and corn futures markets were not cointegrated. Hence these markets are efficient when the effect from the breaks is not apparent but they become inefficient when the breaks are affecting the three markets.
|Date of creation:||18 Apr 2011|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: https://mpra.ub.uni-muenchen.de
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Bruce E. Hansen, 1998.
"Testing for Structural Change in Conditional Models,"
Boston College Working Papers in Economics
310., Boston College Department of Economics.
- Hansen, Bruce E., 2000. "Testing for structural change in conditional models," Journal of Econometrics, Elsevier, vol. 97(1), pages 93-115, July.
- Chen, Gong-meng & Firth, Michael & Meng Rui, Oliver, 2002. "Stock market linkages: Evidence from Latin America," Journal of Banking & Finance, Elsevier, vol. 26(6), pages 1113-1141, June.
- Jushan Bai & Pierre Perron, 2003. "Critical values for multiple structural change tests," Econometrics Journal, Royal Economic Society, vol. 6(1), pages 72-78, 06.
- G. Geoffrey Booth & Cetin Ciner, 2001. "Linkages among agricultural commodity futures prices: evidence from Tokyo," Applied Economics Letters, Taylor & Francis Journals, vol. 8(5), pages 311-313.
- Frank Asche & Helge Bremnes & Cathy R. Wessells, 1999.
"Product Aggregation, Market Integration, and Relationships between Prices: An Application to World Salmon Markets,"
American Journal of Agricultural Economics,
Agricultural and Applied Economics Association, vol. 81(3), pages 568-581.
- Asche, F. & Bremnes, H. & Wessells, C.R., 1998. "Product Aggregation, Market Integration and Relationships Between Prices: an Application to World Salmon Markets," Papers 27/98, Norwegian School of Economics and Business Administration-.
- David E. Rapach & Mark E. Wohar, 2006. "Structural Breaks and Predictive Regression Models of Aggregate U.S. Stock Returns," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 4(2), pages 238-274.
- 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, Northeastern Agricultural and Resource Economics Association, vol. 32(2), October.
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:36101. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ekkehart Schlicht)
If references are entirely missing, you can add them using this form.