Nonlinear price transmission and asynchronous price bubbles: empirical evidence from China’s agricultural futures and spot markets

Qianqian Mao, Yanjun Ren and Jens-Peter Loy

Journal of Applied Economics, 2024, vol. 27, issue 1, 2369441

Abstract: Previous studies on commodity price bubbles mainly focused on futures markets and ignored the performance of spot markets. Using the price data for corn and soybeans in China, this study identifies the exact bubble dates for the futures and spot markets, and finds asynchronous price bubbles between these two markets. Bubbles are more frequent for commodity spot prices, while the corresponding futures prices still dominate the process of price discovery. Further analysis reveals that, the lack of (immediate) linear transmission between the cointegrated prices may have inhibited bubble synchronization, and caused more spot price bubbles. The nonlinear transmission effects between the futures and spot prices suggest the existence of speculative storage and market power. This may further explain why spot price bubbles cannot be arbitraged away.

Date: 2024
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/15140326.2024.2369441 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:recsxx:v:27:y:2024:i:1:p:2369441

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/recs20

DOI: 10.1080/15140326.2024.2369441

Access Statistics for this article

Journal of Applied Economics is currently edited by Jorge M. Streb

More articles in Journal of Applied Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().