Efficiency tests of agricultural commodity futures markets in China

The efficiency of the Chinese wheat and soybean futures markets is studied. Formal statistical tests were conducted based on Johansen’s cointegration approach for three different cashmarkets and six different futures forecasting horizons ranging from1 week to 4 months.The results suggest a long-termequilibrium relationship between the futures price and cash price for soybeans and weak short-term efficiency in the soybean futures market. The futures market for wheat is inefficient, which may be caused by overspeculation and government intervention.


Issue Date:
2005
Publication Type:
Journal Article
PURL Identifier:
http://purl.umn.edu/118441
Published in:
Australian Journal of Agricultural and Resource Economics, Volume 49, Issue 2
Page range:
125-141
Total Pages:
17




 Record created 2017-04-01, last modified 2017-08-26

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