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Efficiency tests of agricultural commodity futures markets in China

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  • H. Holly Wang
  • Bingfan Ke
Abstract
The efficiency of the Chinese wheat and soybean futures markets is studied. Formal statistical tests were conducted based on Johansen's cointegration approach for three different cash markets and six different futures forecasting horizons ranging from 1 week to 4 months. The results suggest a long‐term equilibrium relationship between the futures price and cash price for soybeans and weak short‐term efficiency in the soybean futures market. The futures market for wheat is inefficient, which may be caused by over‐speculation and government intervention.

Suggested Citation

  • H. Holly Wang & Bingfan Ke, 2005. "Efficiency tests of agricultural commodity futures markets in China," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 49(2), pages 125-141, June.
    • Handle: RePEc:bla:ajarec:v:49:y:2005:i:2:p:125-141
    DOI: 10.1111/j.1467-8489.2005.00283.x
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