Price Discovery on the International Soybean Futures Markets: A Threshold Co-Integration Approach

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• 作者：Chao Li and Dermot J. Hayes
• 刊名：Journal of Futures Markets
• 出版年：2017
• 出版时间：January 2017
• 年：2017
• 卷：37
• 期：1
• 页码：52-70
• 全文大小：281K
• ISSN：1096-9934

文摘

This paper investigates the lead-lag relationships among soybean prices in United States, Brazilian, and Chinese futures markets. We focus on both long-run price co-movements and on short-run price relationships. Various co-integration methodologies and causality tests are applied to examine the changes in price relationships over time. The empirical results indicate the following: (a) the soybean futures market in the U.S. is still the most important and influential market, and the U.S. price, in the long-term, leads price changes in Brazil and China; (b) in the short-term, the overnight return of U.S. soybean futures and the daytime return of Chinese No. 1 soybean futures contemporaneously affect each other, but there is no significant causality between U.S. overnight return and the daytime return of Chinese No. 2 soybean futures; and, (c) a weak temporal seasonal causality between U.S. and Brazilian soybean futures price exists and more often than not Brazilian futures lead U.S. futures during the Brazilian growing season.