| Prices of soybeans, soybean meal, and wheat commodity futures trading at the CBOT and their relevant Chinese exchanges were examined. A new way of data arrangement was developed.; A total of six-year (1999-2004) trading history was investigated using daily data between the two countries. Time series analysis was conducted in addition to institutional examination. Contract-specific data and full-time period data were inspected, respectively to scrutinize the law of one price, market integration, efficiency, and market structural changes were.; Research findings revealed that there is an overall long-run equilibrium relationship between the U.S. and Chinese soybeans futures trading, a partial long-term equilibrium in the soybean meal market and a weak equilibrium in the wheat market. Moreover, the integrated futures markets for soybeans and soybean meal are efficient, which is the result of increased trade flow. The inefficiency of wheat market between the two countries is possibly caused by severe Chinese government intervention. |
