 Price Discovery on the International Soybean Futures Markets: A Threshold Co‐Integration ApproachChao Li and Dermot Hayes Journal of Futures Markets, 2017, vol. 37, issue 1, 52-70 Abstract: This paper investigates the lead‐lag relationships among soybean prices in United States, Brazilian, and Chinese futures markets. We focus on both long‐run price co‐movements and on short‐run price relationships. Various co‐integration methodologies and causality tests are applied to examine the changes in price relationships over time. The empirical results indicate the following: (a) the soybean futures market in the U.S. is still the most important and influential market, and the U.S. price, in the long‐term, leads price changes in Brazil and China; (b) in the short‐term, the overnight return of U.S. soybean futures and the daytime return of Chinese No. 1 soybean futures contemporaneously affect each other, but there is no significant causality between U.S. overnight return and the daytime return of Chinese No. 2 soybean futures; and, (c) a weak temporal seasonal causality between U.S. and Brazilian soybean futures price exists and more often than not Brazilian futures lead U.S. futures during the Brazilian growing season. © 2016 Wiley Periodicals, Inc. Jrl Fut Mark 37:52–70, 2017 Date: 2017 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:wly:jfutmk:v:37:y:2017:i:1:p:52-70 Ordering information: This journal article can be ordered from Access Statistics for this article Journal of Futures Markets is currently edited by Robert I. Webb More articles in Journal of Futures Markets from John Wiley & Sons, Ltd. |
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