STRUCTURAL BREAKS AND THE RELATIONSHIP BETWEEN SOYBEAN AND CORN FUTURES PRICES ON THE DALIAN COMMODITY EXCHANGE OF CHINA

被引：0
|
作者：
Wang, Rufang [2 ]
Du, Yonghong [1 ]
Wang, Jian [1 ]
机构：
[1] Nankai Univ, Sch Econ, Tianjin 300071, Peoples R China
[2] Beijing Wuzi Univ, Sch Econom, Beijing 101149, Peoples R China
来源：
COMPUTER AND COMPUTING TECHNOLOGIES IN AGRICULTURE II, VOLUME 2 | 2009年 / 295卷
关键词：
structural break; co-integration; agricultural commodity futures price; price discovery;
D O I：
暂无
中图分类号：
S [农业科学];
学科分类号：
09 ;
摘要：
Co-movement between futures prices can arise when commodities are substitutes. Using Johansen's co-integration procedure, we fail to find a significant long-run link between soybean and corn prices on the Dalian Commodity Exchange of China. This relationship is re-examined using Johansen's co-integration procedure that permits structural breaks. Results show evidence of co-integration and hence price discovery. There is a significant break in July 2007 by reason of rare drought in China's main soybean producing areas. The soybean-corn futures market is perfectly integrated, and the soybean price Granger-causes the corn price. Modeling structural breaks in price relationships appears important.
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收藏
页码：919 / +
页数：2
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