Nonlinear price transmission and asynchronous price bubbles: empirical evidence from China’s agricultural futures and spot markets

Autor: Qianqian Mao, Yanjun Ren, Jens-Peter Loy
Jazyk: angličtina
Rok vydání: 2024
Předmět:
Zdroj: Journal of Applied Economics, Vol 27, Iss 1 (2024)
Druh dokumentu: article
ISSN: 15140326
1667-6726
1514-0326
DOI: 10.1080/15140326.2024.2369441
Popis: Previous studies on commodity price bubbles mainly focused on futures markets and ignored the performance of spot markets. Using the price data for corn and soybeans in China, this study identifies the exact bubble dates for the futures and spot markets, and finds asynchronous price bubbles between these two markets. Bubbles are more frequent for commodity spot prices, while the corresponding futures prices still dominate the process of price discovery. Further analysis reveals that, the lack of (immediate) linear transmission between the cointegrated prices may have inhibited bubble synchronization, and caused more spot price bubbles. The nonlinear transmission effects between the futures and spot prices suggest the existence of speculative storage and market power. This may further explain why spot price bubbles cannot be arbitraged away.
Databáze: Directory of Open Access Journals
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