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Efficiency tests of agricultural commodity futures markets in China
Author(s) -
Wang H. Holly,
Ke Bingfan
Publication year - 2005
Publication title -
australian journal of agricultural and resource economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.683
H-Index - 49
eISSN - 1467-8489
pISSN - 1364-985X
DOI - 10.1111/j.1467-8489.2005.00283.x
Subject(s) - futures contract , cointegration , speculation , economics , spread trade , cash , commodity , financial economics , futures market , economic interventionism , commodity market , monetary economics , econometrics , macroeconomics , finance , institutional investor , corporate governance , open end fund , politics , political science , law
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 cash markets and six different futures forecasting horizons ranging from 1 week to 4 months. The results suggest a long‐term equilibrium 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 over‐speculation and government intervention.