Are futures markets functioning well for agricultural perishables? Evidence from China's apple futures market

Qianqian Mao, Jens-Peter Loy, Thomas Glauben and Yanjun Ren
Additional contact information
Qianqian Mao: School of Economics, Zhejiang University of Technology, Hanghzou, China
Jens-Peter Loy: Department of Agricultural Economics, University of Kiel, Kiel, Germany
Yanjun Ren: College of Economics and Management, Northwest A & F University, Yangling, China

Agricultural Economics, 2023, vol. 69, issue 12, 471-484

Abstract: Emerging economies often establish commodity futures markets to discover price signals, manage price risks and improve market integration, but establishing a futures market may not be feasible for agricultural perishables. In this study, we evaluated the function of the world's first fresh fruit futures contract for apples. Combining partial cointegration with state-space modelling, we derived time-varying price discovery metrics for the apple futures market. Our findings revealed a limited and time-varying dominance of price discovery by the futures market, while a substantial share of price discovery occurred in the spot market. Moreover, poor convergence of disaggregated spot prices to the futures price suggests that commercial traders in the apple supply chain tended to focus more on the spot market than on the futures market. Thus, emerging economies should be cautious about the new establishment of futures markets for agricultural perishables. Future research using more specific data on the spot market may provide a better insight on the limited function of the futures market.

Keywords: market integration; partial cointegration; price discovery; price transmission (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://agricecon.agriculturejournals.cz/doi/10.17221/278/2023-AGRICECON.html (text/html)
http://agricecon.agriculturejournals.cz/doi/10.17221/278/2023-AGRICECON.pdf (application/pdf)
free of charge

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:caa:jnlage:v:69:y:2023:i:12:id:278-2023-agricecon

DOI: 10.17221/278/2023-AGRICECON

Access Statistics for this article

Agricultural Economics is currently edited by Ing. Zdeňka Náglová, Ph.D.

More articles in Agricultural Economics from Czech Academy of Agricultural Sciences
Bibliographic data for series maintained by Ivo Andrle ().