| Co-Investigator(Kenkyū-buntansha) |
NAKATANI Tomoaki Obihiro Univ., Faculty of Agriculture, Associate Professor, 畜産学部, 助手 (60280864)
KANAYAMA Toshihisa Obihiro Univ., Faculty of Agriculture, Associate Professor, 畜産学部, 助教授 (00214445)
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| Budget Amount *help |
¥3,200,000 (Direct Cost: ¥3,200,000)
Fiscal Year 1999: ¥500,000 (Direct Cost: ¥500,000)
Fiscal Year 1998: ¥700,000 (Direct Cost: ¥700,000)
Fiscal Year 1997: ¥2,000,000 (Direct Cost: ¥2,000,000)
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| Research Abstract |
In this study, the relationships between futures and spot markets, the efficiency and the price formation of futures market have been analyzed. A U.S. Soybean futures market on the Tokyo Gram Exchange(TGE) is strongly affected by the CBOT prices which are determined by storage and production conditions. But, on the TGE, the prices of nearby month are deferent from the deferred month prices, which are influenced by the CBOT prices. This is due to speculative behaviors of traders in nearby month. The prices of nearby month on the TGE have a stronger impact to the spot, market of the IOM soybean than the import prices
An efficient market hypothesis of a U.S. Soybean futures market on the TGE was tested using a no-arbitrage asset pricing hypothesis as well as a so-called unbiasedness hypothesis. A cointegration technique was employed for empirical analyses. The results shown that the prices of nearby contracts had long run equilibrium relations with spot prices, or spot prices and risk-free interest rates. On the second and third nearby contract, prices were appeared to be decided under the no-arbitrage asset pricing hypothesis.
Price formation of the corn futures market in USA and Japan is as follows. First, the stock of corn affects strongly nearby price of corn of CBOT, and on the months when the production of corn is not definite, a production forecast, influences it. Second, the nearby price of corn of CBOT, exchange, rate, and freight are very important factors of price formation of nearby price of corn in the TGE and Kanmon Commodity Exchange.
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