Jump to ContentJump to Main Navigation
Show Summary Details
More options …

Journal of Agricultural & Food Industrial Organization

Ed. by Azzam, Azzeddine


CiteScore 2018: 0.57

SCImago Journal Rank (SJR) 2018: 0.324
Source Normalized Impact per Paper (SNIP) 2018: 0.398

Online
ISSN
1542-0485
See all formats and pricing
More options …

Market Efficiency in the Non-Genetically Modified Soybean Futures Market

Kentaka Aruga
Published Online: 2011-12-06 | DOI: https://doi.org/10.2202/1542-0485.1345

The world's first non-genetically modified (non-GM) soybean futures market opened in May 2000 but no studies have tested whether this market transmits price information efficiently. This study investigates the market efficiency of the non-GM and conventional soybean futures markets and their information flow between the futures and spot prices. The Johansen cointegration test is used for this purpose. The results suggest that both the non-GM and conventional soybean futures markets are efficient, but the non-GM soybean futures market is relatively inefficient compared to the conventional soybean futures market. In both soybean futures markets long-run information flow was found from the spot market to the futures market and existence of such causality supports that these futures markets function efficiently.

Keywords: non-genetically modified soybeans; futures market; market efficiency; cointegration

About the article

Published Online: 2011-12-06


Citation Information: Journal of Agricultural & Food Industrial Organization, Volume 9, Issue 1, ISSN (Online) 1542-0485, DOI: https://doi.org/10.2202/1542-0485.1345.

Export Citation

©2012 Walter de Gruyter GmbH & Co. KG, Berlin/Boston.Get Permission

Citing Articles

Here you can find all Crossref-listed publications in which this article is cited. If you would like to receive automatic email messages as soon as this article is cited in other publications, simply activate the “Citation Alert” on the top of this page.

[1]
Marcos Aurelio Rodrigues and João Gomes Martines Filho
Revista de Economia e Sociologia Rural, 2017, Volume 55, Number 2, Page 305

Comments (0)

Please log in or register to comment.
Log in