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Abstract
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.