An Intervention Analysis on the Tokyo Grain Exchange Non- Genetically Modified and Conventional Soybean Futures Market

Kentaka Aruga

MPRA Paper from University Library of Munich, Germany

Abstract: This paper examines how efficiently the price premium for non-genetically modified (non-GM) soybeans at the Tokyo Grain Exchange (TGE) react to an announcement to change the contract unit, suppliers, and expiration date on the conventional soybean futures contract. Intervention analysis is used for this purpose. The results reveal that the price premium for non-GM soybeans increases after the change and this effect remains at least for a month. Hence, prices of the two soybean futures markets did not respond quickly to the announcement and there was an informational inefficiency after the announcement occurred.

Keywords: price premium; non-genetically modified soybeans; conventional soybeans; intervention analysis; Tokyo Grain Exchange (search for similar items in EconPapers)
JEL-codes: C1 O13 (search for similar items in EconPapers)
Date: 2011-11-09
New Economics Papers: this item is included in nep-agr
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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https://mpra.ub.uni-muenchen.de/36088/8/MPRA_paper_36088.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/36150/4/MPRA_paper_36150.pdf revised version (application/pdf)
https://mpra.ub.uni-muenchen.de/56250/4/MPRA_paper_36150.pdf revised version (application/pdf)

Related works:
Journal Article: An intervention analysis on the Tokyo Grain Exchange non-genetically modified and conventional soybean futures markets (2014)
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