Abstract
ABSTRACT Previous studies on commodity price bubbles mainly focused on futures markets and ignored the performance of spot markets. Using the price data for corn and soybeans in China, this study identifies the exact bubble dates for the futures and spot markets, and finds asynchronous price bubbles between these two markets. Bubbles are more frequent for commodity spot prices, while the corresponding futures prices still dominate the process of price discovery. Further analysis reveals that, the lack of (immediate) linear transmission between the cointegrated prices may have inhibited bubble synchronization, and caused more spot price bubbles. The nonlinear transmission effects between the futures and spot prices suggest the existence of speculative storage and market power. This may further explain why spot price bubbles cannot be arbitraged away.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
