Information Flows Across Wheat Futures Markets

We study information flows across four wheat futures markets on four continents: Zhengzhou Commodity Exchange (ZCE), South African Futures Exchange (SAFEX), Euronext/Liffe, and Kansas City Board of Trade (KCBT). Three main approaches have been applied: cointegration techniques, VAR analysis, and a multiple regression model proposed by Peiro, Quesada, and Uriel (1998) to study information flows among non-synchronous markets. Our results indicate that no long-run links exist among the four markets, that ZCE is by far the most endogenous market, and that Euronext/Liffe is the most exogenous one. Furthermore, the model by Peiro et al. (1998) points to KCBT as the most influential as well as the most sensitive market to giving and receiving information flows from the global wheat system.