Essays on the Efficiency of Non-Genetically Modified (Non-GM) and Conventional Soybean Futures Markets

This dissertation explores issues related to efficiency, how efficiently markets transmit information, of non-genetically modified (GM) soybean and conventional soybean futures markets at the Tokyo Grain Exchange (TGE).

The first manuscript examines how efficiently non-GM and conventional soybean futures markets react to an announcement to change the contract unit, suppliers, and expiration date on the conventional soybean contract.

Box and Tiao's intervention analysis is used for this purpose.

The result reveals that the price premium for non-GM soybeans (the price difference between the two soybean contracts) and the volumes of non-GM soybeans increase after the announcement and this effect remained after the announcement.

Hence the two soybean futures markets did not respond quickly to the announcement and there was an informational inefficiency after the change occurred.

The second manuscript explores the market linkages between the non-GM and conventional soybean, and the corn futures markets at the TGE in the presence of unknown breaks.

Bai-Perron multiple structural change test and Johansen cointegration tests are used for this purpose.

The results reveal that cointegration relationships exist between the two soybean futures prices and between the non-GM soybean and corn futures prices.

Yet the breaks found in the soybean futures markets affected these price linkages, and there were periods where the two soybean and corn futures markets were not efficient.

The third manuscript tests if the two soybean futures markets fully reflect available information by testing the market efficiency of the two soybean futures markets.

This manuscript also investigates the causality of this long-run relationship to find out if it is the spot price or the futures price that first incorporates new information into the market.

Johansen cointegration tests are used for these purposes.

The results suggest that both non-GM and conventional soybean futures markets are efficient but the non-GM soybean market is inefficient compared to the conventional soybean market.

The test on the causality of the long-run relationship showed that both of the soybean futures markets are led by the spot price for the spot and futures prices to move together in the long-run.