INFORMATIONAL DISCONTINUITY IN SOYBEAN FUTURES PRICE FROM THE 2018-2019 SINO-AMERICA TRADE WAR

Abstract

There are plenty of studies testing and verifying the price signaling effects between China and US futures markets. This paper is built up based on this consensus but further elaborate on method application. Results show that previous patterns of price signaling effect on soybean futures prices between China and US no longer exist after the US-China trade war in 2018, during which the trade of soybeans was adversely affected and almost stopped. Different from previous studies, this paper differentiates price signaling effects between opening prices and closing prices of soybean futures, building up a circulating price signaling structure. We also consider signaling effect between US soybean futures price and Chinses spot price. Besides, existing studies typically predict future price shocks by simulations. This paper applies an existing shock, the 2018 US-China trade war, to examine whether the price signaling effects still exist. Key words: US-China trade war, price signaling, soybean future