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Market Efficiency and Nonlinear Analysis of Soybean Futures

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School of Economics, Peking University, Beijing 100871, China
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Sustainability 2021, 13(2), 518; https://doi.org/10.3390/su13020518
Received: 17 December 2020 / Revised: 4 January 2021 / Accepted: 4 January 2021 / Published: 7 January 2021
In this paper, the multifractal detrended fluctuation analysis (MF-DFA) method is used to identify the multifractal structure of in the Chicago Board of Trade (CBOT) soybean futures and quantitatively describe the inefficiency and nonlinearity of the market. The data is the daily price of CBOT soybean futures from 3 January 2000 to 20 December 2019, with a total of 5025 trading days. The empirical results also show that the perspective based on MF-DFA can explain the market’s nonlinear, long-range correlation, predictability and other financial anomalies. At the same time, the prediction of price change direction and risk degree of the market are further studied. It is pointed out that multifractal characteristics are generated under the joint action of fat-tail distribution and long-range correlation. Investors can make use of these market characteristics to make arbitrage possible. Finally, based on the empirical results, some policy suggestions are put forward: strengthening rational investment education, strengthening supervision, reducing information asymmetry and other measures to improve market efficiency. View Full-Text
Keywords: inefficiency; nonlinearity; soybean; MF-DFA; futures inefficiency; nonlinearity; soybean; MF-DFA; futures
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MDPI and ACS Style

Yin, T.; Wang, Y. Market Efficiency and Nonlinear Analysis of Soybean Futures. Sustainability 2021, 13, 518. https://doi.org/10.3390/su13020518

AMA Style

Yin T, Wang Y. Market Efficiency and Nonlinear Analysis of Soybean Futures. Sustainability. 2021; 13(2):518. https://doi.org/10.3390/su13020518

Chicago/Turabian Style

Yin, Tao, and Yiming Wang. 2021. "Market Efficiency and Nonlinear Analysis of Soybean Futures" Sustainability 13, no. 2: 518. https://doi.org/10.3390/su13020518

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