African Journal of
Agricultural Research

  • Abbreviation: Afr. J. Agric. Res.
  • Language: English
  • ISSN: 1991-637X
  • DOI: 10.5897/AJAR
  • Start Year: 2006
  • Published Articles: 6576

Full Length Research Paper

Are Chinese soybean future markets efficient? A fractal analysis

Yu Zhao*, Yu Zhang and Xiaoming Zou
East China Institute of Technology, College of Economics and Management, Fuzhou, 344000, China.  
Email: [email protected]

  •  Accepted: 22 July 2011
  •  Published: 18 August 2011

Abstract

China is the world's fourth-largest soybean producer and is also the biggest soybean importer. Although China has the largest non-genetically modified soybean futures markets, “whether Chinese soybean future markets are efficient or not” is always the matter at issue in academia. Through reviewing related literatures, we find that most of them adopt traditional econometric model. However, their conclusions are contradictory. Part of the literatures is improper for understanding efficiency, data selection and method application. According to fractal market theory, the article measures the Hurst index and Hausdorff fractal dimension of return series of Chinese soybean futures dominant contract by using R/S, R/S (q), V/S and V/S (q). The results show that the return series of Chinese soybean futures dominant contract has long-term memory; thus, Chinese soybean futures markets are not weak-form efficient.

 

Key words: Weak-form efficiency, fractal market, soybean futures markets, fractal dimension.