Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/314077 
Year of Publication: 
2020
Citation: 
[Journal:] Journal of Applied Economics [ISSN:] 1667-6726 [Volume:] 23 [Issue:] 1 [Year:] 2020 [Pages:] 1-20
Publisher: 
Taylor & Francis, Abingdon
Abstract: 
We use a Supremum Augmented Dickey-Fuller test to detect price bubbles in the world's most important sugar futures markets (ZCE, NYBOT, and LIFFE) from 2006 to 2017. Results show 19 bubbles with characteristics similar in quantity, duration, and price variation. We explore whether sugar futures prices in ZCE, NYBOT, and LIFFE are integrative in a full sample with an improved hybrid method of directed acyclic graphs and structural vector autoregression. Based on the bubble test, we examine market integration in the sugar futures markets during explosive and unexplosive episodes. We find the impact of price bubbles on market integration and explore the cause of price bubbles in a macro-economic environment. Empirical results show futures markets are more integrative when price bubbles occur. We find sugar futures price bubbles reflect supply and demand imbalance, market participants are extremely sensitive, and market information exchanges frequently during the bubble period.
Subjects: 
market integration
price bubbles
Sugar futures
Supremum Augmented Dickey-Fuller test (SADF or PWY)
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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