Price Discovery on the International Soybean Futures Markets: A Threshold Co‐Integration Approach
研究了美国、巴西和中国大豆期货市场间的长期和短期价格关系，发现美国市场在长期中主导价格变化，但短期中美市场相互影响，且巴西在生长季有时领先美国。
This paper investigates the lead‐lag relationships among soybean prices in United States, Brazilian, and Chinese futures markets. We focus on both long‐run price co‐movements and on short‐run price relationships. Various co‐integration methodologies and causality tests are applied to examine the changes in price relationships over time. The empirical results indicate the following: ( a ) the soybean futures market in the U.S. is still the most important and influential market, and the U.S. price, in the long‐term, leads price changes in Brazil and China; ( b ) in the short‐term, the overnight return of U.S. soybean futures and the daytime return of Chinese No. 1 soybean futures contemporaneously affect each other, but there is no significant causality between U.S. overnight return and the daytime return of Chinese No. 2 soybean futures; and, ( c ) a weak temporal seasonal causality between U.S. and Brazilian soybean futures price exists and more often than not Brazilian futures lead U.S. futures during the Brazilian growing season. © 2016 Wiley Periodicals, Inc. Jrl Fut Mark 37:52–70, 2017