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  • 标题:An intervention analysis on the Tokyo Grain Exchange non-genetically modified and conventional soybean futures markets
  • 本地全文:下载
  • 作者:Kentaka Aruga
  • 期刊名称:Cogent Economics & Finance
  • 电子版ISSN:2332-2039
  • 出版年度:2014
  • 卷号:2
  • 期号:1
  • DOI:10.1080/23322039.2014.918854
  • 出版社:Taylor and Francis Ltd
  • 摘要:

    This paper examines how efficiently the price premium for non-genetically modified (non-GM) soybeans at the Tokyo Grain Exchange (TGE) reacts to an announcement to change the contract unit, suppliers, and expiration date on the conventional soybean futures contract. An intervention analysis is used for this purpose. The results reveal that the price premium for non-GM soybeans increases after the change and this effect did not disappear immediately. This implies that the two soybean futures markets did not respond quickly to the announcement and there was an informational inefficiency after the announcement. The TGE non-GM soybean futures market is one of the first segregated markets for a non-GM commodity. An intervention of clearing houses on such newly opened markets can often lead to market inefficiency so a further study is necessary in order to understand what causes such inefficiency and to find out how clearing houses can minimize the effects of intervention.

  • 关键词:price premium ; non-genetically modified soybeans ; intervention analysis ; C1 ; O13
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