Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/314280 
Year of Publication: 
2024
Citation: 
[Journal:] Journal of Applied Economics [ISSN:] 1667-6726 [Volume:] 27 [Issue:] 1 [Article No.:] 2369441 [Year:] 2024 [Pages:] 1-27
Publisher: 
Taylor & Francis, Abingdon
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.
Subjects: 
agricultural commodities
futures market
Price bubbles
spot market
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc Logo
Document Type: 
Article

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