IDEAS home Printed from https://ideas.repec.org/a/wly/agribz/v30y2014i4p398-409.html
   My bibliography  Save this article

Price Discovery in the Chinese Corn Futures Market, With Comparisons to Soybean Futures

Author

Listed:
  • Yunxian Yan
  • Michael Reed

Abstract

ABSTRACT The Chinese corn futures market is the second largest after the CBOT in terms of trading volume in contracts. In 2012, the trading volume of corn futures was 37 million contracts (or 378 million metric tons). The relationship between Chinese corn futures and spot prices is studied to gauge the price discovery process. Formal statistical tests are conducted based on Johansen's co‐integration, Granger causality and the Garbade‐Silber approach for the corn spot prices and futures prices. All empirical analysis is also performed for GMO and non‐GMO soybeans to provide a contrast with the corn futures market. The results suggest that Chinese corn futures prices guide the spot prices; that is, the corn futures market can serve as legitimate guide for future cash prices. This conclusion is valid for GMO futures market, but is not found to be the case for non‐GMO soybeans, where spot prices guide futures prices.

Suggested Citation

  • Yunxian Yan & Michael Reed, 2014. "Price Discovery in the Chinese Corn Futures Market, With Comparisons to Soybean Futures," Agribusiness, John Wiley & Sons, Ltd., vol. 30(4), pages 398-409, September.
    • Handle: RePEc:wly:agribz:v:30:y:2014:i:4:p:398-409
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1002/agr.21376
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Scott, Ayesha & Schoen, Tilman & Fernandez-Perez, Adrian, 2020. "The Predictive Power of NZX Dairy Futures," 2020 Conference (64th), February 12-14, 2020, Perth, Western Australia 305230, Australian Agricultural and Resource Economics Society.
    2. Carlotta Penone & Elisa Giampietri & Samuele Trestini, 2022. "Futures–spot price transmission in EU corn markets," Agribusiness, John Wiley & Sons, Ltd., vol. 38(3), pages 679-709, July.
    3. Li, Miao & Xiong, Tao, 2023. "Is China's new live hog futures market efficient? Evidence from an analysis of market quality, price discovery and hedging effectiveness," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 68(01), September.
    4. Jian Yang & Zheng Li & Tao Wang, 2021. "Price discovery in chinese agricultural futures markets: A comprehensive look," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(4), pages 536-555, April.
    5. Crentsil Kofi Agyekum & Haifeng Huang & Jianshu Chen, 2017. "The impact of the Chinese cornstarch futures on spot market and corn futures market," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1405580-140, January.
    6. Li, Miao & Xiong, Tao, 2021. "Dynamic price discovery in Chinese agricultural futures markets," Journal of Asian Economics, Elsevier, vol. 76(C).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wly:agribz:v:30:y:2014:i:4:p:398-409. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://onlinelibrary.wiley.com/journal/10.1002/(ISSN)1520-6297 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.