Market Efficiency in the Non-Genetically Modified Soybean Futures Market

Kentaka Aruga

Journal of Agricultural & Food Industrial Organization, 2011, vol. 9, issue 1, 13

Abstract: The world's first non-genetically modified (non-GM) soybean futures market opened in May 2000 but no studies have tested whether this market transmits price information efficiently. This study investigates the market efficiency of the non-GM and conventional soybean futures markets and their information flow between the futures and spot prices. The Johansen cointegration test is used for this purpose. The results suggest that both the non-GM and conventional soybean futures markets are efficient, but the non-GM soybean futures market is relatively inefficient compared to the conventional soybean futures market. In both soybean futures markets long-run information flow was found from the spot market to the futures market and existence of such causality supports that these futures markets function efficiently.

Keywords: non-genetically modified soybeans; futures market; market efficiency; cointegration (search for similar items in EconPapers)
Date: 2011
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DOI: 10.2202/1542-0485.1345

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