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Linkages among the non-genetically modified soybean, conventional soybean, and corn futures markets in the Tokyo Grain Exchange

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  • Aruga, Kentaka

Abstract

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.

Suggested Citation

  • Aruga, Kentaka, 2011. "Linkages among the non-genetically modified soybean, conventional soybean, and corn futures markets in the Tokyo Grain Exchange," MPRA Paper 36101, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:36101
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    References listed on IDEAS

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    Cited by:

    1. Aruga, Kentaka, 2011. "非遺伝子組換え大豆とエネルギーの価格関係について [Relationships among the Non-Genetically Modified Soybean and Energy Prices]," MPRA Paper 38186, University Library of Munich, Germany, revised 20 Aug 2011.
    2. Aruga, Kentaka & Managi, Shunsuke, 2011. "Testing the international linkage in the platinum-group metal futures markets," Resources Policy, Elsevier, vol. 36(4), pages 339-345.

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    More about this item

    Keywords

    non-genetically modified soybeans; conventional soybeans; corn; cointegration test; structural change;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • Q13 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Markets and Marketing; Cooperatives; Agribusiness
    • Q14 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Finance

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