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Authors: Wang, H. Holly
Ke, Bingfan
Authors (Email): Wang, H. Holly (
Issue Date: 2003
Series/Report no.: Contributed Paper
Abstract: In this paper, we study the efficiency of the Chinese wheat and soybeans futures markets and assess the conditions in agricultural commodity futures and cash markets in China. Formal statistical tests are conducted through Johansen's cointegration approach to identify the long-term equilibrium relationship between futures and cash markets. Three different cash prices from Zhengzhou Grain Wholesale Market, Tianjin Grain Wholesale Market, and the national average wholesale price are used. The wheat futures price from China Zhengzhou Commodity Exchange and soybeans futures price from Dalian Commodity Exchange with different forecasting horizons ranging from one week to six months are also used. Results suggest that a long-term equilibrium relationship between the futures price and cash price for soybeans has been established. A weak short-term efficiency of the soybean futures market is revealed. The futures market for wheat is inefficient. The relative inefficient wheat market may be caused by over-speculation and government intervention, because wheat is the staple food in China and the government has more control over it than soybeans. Another reason is geographic proximities between the cash market in Tianjin and both the soybean production area and the futures market in Dalian.
Institution/Association: International Association of Agricultural Economists>2003 Annual Meeting, August 16-22, 2003, Durban, South Africa
Total Pages: 14
Language: English
Collections:2003 Annual Meeting, August 16-22, 2003, Durban, South Africa

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