論文

査読有り
2014年

An intervention analysis on the Tokyo grain exchange non-genetically modified and conventional soybean futures markets

Cogent Economics and Finance
  • Kentaka Aruga

2
1
開始ページ
1
終了ページ
11
記述言語
英語
掲載種別
研究論文(学術雑誌)
DOI
10.1080/23322039.2014.918854
出版者・発行元
Cogent OA

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.

リンク情報
DOI
https://doi.org/10.1080/23322039.2014.918854
ID情報
  • DOI : 10.1080/23322039.2014.918854
  • ISSN : 2332-2039
  • SCOPUS ID : 85015555788

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