Abstract
This paper examines the information transmission mechanism between corn futures traded in Tokyo and Chicago for the 1993–1995 period. Corn futures contracts traded on the Chicago Board of Trade (CBT) and the Tokyo Grain Exchange (TGE) have almost identical specifications. Different trading systems are used by the two exchanges, and their trading times do not overlap. Dynamic vector autoregression models are employed to test for price and volatility spillovers between the markets. The results indicate that the TGE is dependent on the CBT for information generation, which is reflected in the opening price of the TGE.
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