Complements or substitutes? Equivalent futures contract markets—the case of corn and soybean futures on U.S. and Japanese exchanges

Abstract

This article examines the relationship between corn and soybean futures volumes for contracts traded in the United States and Japan. Because the contract specifications for corn and soybeans futures traded on the Chicago Board of Trade (CBOT), the Tokyo Grain Exchange (TGE), and the Kanmon Commodity Exchange (KCE) are highly similar, the existence of interactions might be expected. Previous research has identified price relationships between these similar contracts. With the advent of agricultural trading on the CBOT's Project A overnight electronic trading system, an overlap of trading times of the U.S. and Japanese exchanges for these commodity contracts resulted. An analysis of TGE and KCE corn and soybean futures volumes indicates that these contracts, rather than acting as substitutes, exhibit a complementary relationship. © 2002 Wiley Periodicals, Inc. Jrl Fut Mark 22:355–370, 2002

International Linkages of the Indian Commodity Futures Markets

“…It is interesting to note that futures prices of agricultural commodities (Soybean and Corn) traded on India commodity futures exchanges are cointegarted with CBOT futures prices. Hua and Chen [38] investigated the similar relationship for Chinese commodity futures market and found the long run cointegration with world futures market for Aluminium, Copper and Soybean but did not find cointegration for Wheat futures traded on CBOT and the Chinese com-modity futures exchange.…”

“…They found substantial spillover effects between two markets where IPE morning prices seem to be considerably affected by the closing price of the previous day on NYMEX. Holder, Pace and Tomas III [38] investigated the market linkage between US and Japan for Corn and Soybean futures. They considered Corn and Soybean futures traded on the Chicago Board of Trade (CBOT) in US and the Tokyo Grain Exchange (TGE), and the Kanmon Commodity Exchange (KCE) in Japan.…”

Are Green Bond and Carbon Markets in Europe complements or substitutes? Insights from the activity of power firms

“…7 Outside the EUA futures markets, the volatility-volume relationship has been studied to test the complementarity or substitutability nature of derivatives markets. Holder et al (2002) find a complementary relationship between U.S. and Japanese corn futures markets based on the quasi absence of volume interactions. In the foreign exchange market related to the Canadian Dollar, Switzer and Fan (2008) detect significant Granger causality from the futures 7 Balietti (2016) uses the European Union Transactions Log to track permit transfers across the individual accounts of EU ETS installations in Phase I.…”

“…Apart from the case of EUA futures markets, the volume/volatility couple has also been explored to test the complementarity or substitutability nature of derivatives markets. Using the volumes of corn futures traded on U.S. and Japanese exchanges, Holder et al (2002) showed that the two futures markets are complementary. By contrast, in the foreign exchange market, Switzer and Fan (2008) documented that futures and OTC forward markets are substitutes.…”

Research on Futures Price Volatility Transmission Effect: Evidence from the CBOT and DCE Soybean Futures

“…Previous studies may have the following limitations: the basic point of view from the research models are based on long-term relationship, this method is simple and intuitive expression of the relationship between the object. But the futures market have a variety of factors to each other on effect of complex systems [4,6], the model also over-simplifies the problem. The linear regression method from the methodology, used in most early research literature, due to causal relationship between the futures market interaction, and interaction of complex relationships, it is very difficult to determine the causal relationship between the variables.…”