Linkages among the non-genetically modified soybean, conventional soybean, and corn futures markets in the Tokyo Grain Exchange

Kentaka Aruga

MPRA Paper from University Library of Munich, Germany

Abstract: The market linkages among the non-genetically modified (non-GM) soybean, conventional soybean, and cor futures markets at the Tokyo Grain Exchange are investigated to find out if the two soybean futures markets and the corn futures market share price information in the presence of unknown breaks. The results reveal that there are market linkages between the non-GM and conventional soybean futures prices and between the non-GM soybean and corn futures prices and that these markets do influence one another. Yet the breaks found in the soybean futures price affected these linkages and there were periods where the two soybean and corn futures markets were not cointegrated. Hence these markets are efficient when the effect from the breaks is not apparent but they become inefficient when the breaks are affecting the three markets.

Keywords: non-genetically modified soybeans; conventional soybeans; corn; cointegration test; structural change (search for similar items in EconPapers)
JEL-codes: G14 Q13 Q14 (search for similar items in EconPapers)
Date: 2011-04-18
New Economics Papers: this item is included in nep-agr
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Citations: View citations in EconPapers (2)

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