INTERNATIONAL MARKET INTEGRATION UNDER WTO: EVIDENCE IN THE PRICE BEHAVIORS OF CHINESE AND US WHEAT FUTURES

Wen Du

No 20115, 2004 Annual meeting, August 1-4, Denver, CO from American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association)

Abstract: China's 10-year old wheat futures market, the China Zhengzhou Commodity Exchange (CZCE) has been in stable development since establishment and is expected to be integrated to the world market after China joined WTO. This paper compares the price behavior of CZCE with that of the Chicago Board of trade (CBOT) in the US using ARCH/GARCH based univariate and multivariate time series models for the period between 1999 and 2003, around when China joined the World Trade Organization (WTO). Results show both markets can be modeled by an ARCH (1) or a GARCH (1,1), and the models have better fit when conditional error variance is t distributed. The price series in CZCE and CBOT are interrelated but not cointegrated. The existing interrelations between the two markets are significant and asymmetric, where CBOT holds a dominant position in the interactions while CZCE is more like a follower.

Keywords: Demand and Price Analysis; International Relations/Trade (search for similar items in EconPapers)
Pages: 33
Date: 2004
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea04:20115

DOI: 10.22004/ag.econ.20115

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