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.

Abstract

This paper examines how efficiently the price premium for non-genetically modified (non-GM) soybeans at the Tokyo Grain Exchange (TGE) react 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 at least for a month. 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.

• Item Type: MPRA Paper
• Language: English
• Keywords: price premium; non-genetically modified soybeans; conventional soybeans; intervention analysis; Tokyo Grain Exchange
• Subjects: O - Economic Development, Innovation, Technological Change, and Growth > O1 - Economic Development > O13 - Agriculture ; Natural Resources ; Energy ; Environment ; Other Primary Products; C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General

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