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Cross-market soybean futures price discovery: does the Dalian Commodity Exchange affect the Chicago Board of Trade?

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  • Liyan Han
  • Rong Liang
  • Ke Tang
Abstract
In this paper, we examine the role that the Dalian Commodity Exchange (DCE) plays in the global price discovery of soybean futures. We employ Structural Vector Autoregressive and Vector Error Correction models on the returns of the DCE and the Chicago Board of Trade (CBOT) soybean futures during trading and non-trading hours, and the result suggests that information transfers between DCE and CBOT in both directions, in particular that the DCE soybean futures prices influence price discovery in CBOT. Furthermore, the impulse response analysis and forecasted error variance decomposition show that the information transfer from DCE to CBOT is at a similar magnitude as that from CBOT to DCE. This shows that the DCE plays a prominent role in the global soybean futures price discovery. This conclusion differs from much of the literature, which mainly shows that the DCE is a satellite market and is dominated by the CBOT.

Suggested Citation

  • Liyan Han & Rong Liang & Ke Tang, 2013. "Cross-market soybean futures price discovery: does the Dalian Commodity Exchange affect the Chicago Board of Trade?," Quantitative Finance, Taylor & Francis Journals, vol. 13(4), pages 613-626, March.
    • Handle: RePEc:taf:quantf:v:13:y:2013:i:4:p:613-626
    DOI: 10.1080/14697688.2013.775477
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    Citations

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    Cited by:

    1. Philipp Adämmer & Martin T. Bohl & Ernst-Oliver Ledebur, 2017. "Dynamics Between North American And European Agricultural Futures Prices During Turmoil And Financialization," Bulletin of Economic Research, Wiley Blackwell, vol. 69(1), pages 57-76, January.
    2. Haidong Cai & Shamim Ahmed & Ying Jiang & Xiaoquan Liu, 2020. "The impact of US macroeconomic news announcements on Chinese commodity futures," Quantitative Finance, Taylor & Francis Journals, vol. 20(12), pages 1927-1966, December.
    3. Bohl, Martin T. & Gross, Christian & Souza, Waldemar, 2019. "The role of emerging economies in the global price formation process of commodities: Evidence from Brazilian and U.S. coffee markets," International Review of Economics & Finance, Elsevier, vol. 60(C), pages 203-215.
    4. Zhang, Huiming & Qian, Siji & Ma, Zhen, 2024. "An analysis of the market efficiency of the Chinese copper futures based on intertemporal and intermarket arbitrages," International Review of Financial Analysis, Elsevier, vol. 94(C).
    5. Ying Jiang & Neil Kellard & Xiaoquan Liu, 2020. "Night trading and market quality: Evidence from Chinese and US precious metal futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(10), pages 1486-1507, October.
    6. Yang, Yao & Karali, Berna, 2022. "How far is too far for volatility transmission?," Journal of Commodity Markets, Elsevier, vol. 26(C).
    7. Philipp Adämmer & Martin T. Bohl & Ernst-Oliver Ledebur, 2015. "Price Transmissions During Financialization and Turmoil: New Evidence from North American and European Agricultural Futures," CQE Working Papers 3815, Center for Quantitative Economics (CQE), University of Muenster.
    8. Huayun Jiang & Neda Todorova & Eduardo Roca & Jen-Je Su, 2017. "Dynamics of volatility transmission between the U.S. and the Chinese agricultural futures markets," Applied Economics, Taylor & Francis Journals, vol. 49(34), pages 3435-3452, July.
    9. Yan-Hong Yang & Ying-Hui Shao & Wei-Xing Zhou, 2024. "Quantile connectedness across BRICS and international grain futures markets: Insights from the Russia-Ukraine conflict," Papers 2409.19307, arXiv.org.
    10. Li, Jianping & Li, Guowen & Liu, Mingxi & Zhu, Xiaoqian & Wei, Lu, 2022. "A novel text-based framework for forecasting agricultural futures using massive online news headlines," International Journal of Forecasting, Elsevier, vol. 38(1), pages 35-50.
    11. Arunava Bandyopadhyay & Prabina Rajib, 2023. "The impact of Sino–US trade war on price discovery of soybean: A double‐edged sword?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(7), pages 858-879, July.
    12. Sinha, Pankaj & Mathur, Kritika, 2013. "Price, Return and Volatility Linkages of Base Metal Futures traded in India," MPRA Paper 47864, University Library of Munich, Germany.
    13. Yves Jégourel, 2018. "The Financialization of Commodity Markets: A Short-lived Phenomenon?," Books & Reports, Policy Center for the New South, number 24, March.

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