Proceedings of the 2024 2nd International Conference on Digital Economy and Management Science (CDEMS 2024)

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Identification and Management of Price Bubbles in Chinese Soybean Futures

Authors
Yu Zhao1, 2, *, Zhiming Wu1, Juntao Zhang1
1School of Economic and Management, East China University of Technology, Nanchang, 330013, China
2Center for Research on Resource and Environmental Economics of East China University of Technology, Nanchang, 330013, China
*Corresponding author. Email: zhaoyu8210@126.com
Corresponding Author
Yu Zhao
Available Online 29 August 2024.
DOI
10.2991/978-94-6463-488-4_16How to use a DOI?
Keywords
Soybean Futures; Price Bubbles; GSADF Test
Abstract

Utilizing daily data from 2019 to 2022, the GSADF method was employed to test the price volatility in the soybean futures market and Granger causality test was employed to analyze the internal relationship of price bubbles among them. The results indicate the presence of price bubbles in all four product categories in China’s soybean futures market in recent years. The risk levels and characteristics vary among the four products, with the highest to lowest risk levels being Soybean Oil, Yellow Soybean 1, Soybean Meal, and Yellow Soybean 2. Long-duration bubbles are predominant in Soybean Oil and Yellow Soybean 1, while short-duration bubbles prevail in Yellow Soybean 2 and Soybean Meal. The price risk in the soybean oil futures market is relatively independent. The price risk of yellow soybean 1 is influenced by the fluctuations in yellow soybean 2 and soybean meal prices. There is a bidirectional contagious relationship between the price risks of yellow soybean 2 and soybean meal. Based on the research findings, effective responses to the risks of price bubbles in soybean futures should include the establishment of an early warning system, the development of a comprehensive information disclosure system, and the adoption of a regulatory strategy focusing on gradation and key areas.

Copyright
© 2024 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the 2024 2nd International Conference on Digital Economy and Management Science (CDEMS 2024)
Series
Advances in Economics, Business and Management Research
Publication Date
29 August 2024
ISBN
978-94-6463-488-4
ISSN
2352-5428
DOI
10.2991/978-94-6463-488-4_16How to use a DOI?
Copyright
© 2024 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Yu Zhao
AU  - Zhiming Wu
AU  - Juntao Zhang
PY  - 2024
DA  - 2024/08/29
TI  - Identification and Management of Price Bubbles in Chinese Soybean Futures
BT  - Proceedings of the 2024 2nd International Conference on Digital Economy and Management Science (CDEMS 2024)
PB  - Atlantis Press
SP  - 144
EP  - 151
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-488-4_16
DO  - 10.2991/978-94-6463-488-4_16
ID  - Zhao2024
ER  -