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

Aruga, Kentaka (2011): An intervention analysis on the Tokyo grain exchange non- genetically modified and conventional soybean futures market.

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Abstract

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. 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 remains for four months. Hence, prices of the two soybean futures markets did not respond quickly to the announcement and there was an informational inefficiency after the announcement occurred.

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