The Trilogy of the Chinese Apple Futures Market: Price Discovery, Risk-Hedging and Cointegration

Round 1

Reviewer 1 Report

Authors use somewhere  “return” but somewhere “yield”, it may be better to use “return” the same  in whole paper. We need to see Jargue Bera statistics related to Table 1

We see Summary statistics of Chinese agricultural futures prices  in table 2. I think we no need this table in the Methodology section. May be better to put in the introduction section.?

ARIMA method is fit to non-stationary time series. But series are stationary (I0) at the %1 significance level according to ADF method. Thus, the authors should use the ARMA model instead of the ARIMA model. This may affect the analysis results.

We need more information about the results presented by Table 5. It should also be explained why these analyzes were made.

We need  to see the diagnotics tests in table 8. And authors should show Cusum and CusumQ results.

Table 8 , diagnostics testler eksik, CUSUM, CUSUMQ Graphs deficit.

Besides, also i think the representation of the stars in table 8 is wrong.

Author Response

Please see the attachment.

Author Response File: Author Response.pdf

Reviewer 2 Report

This study envisages the the efficiency of apple futures market by using the Wild Bootstrapping Variance Ratio model to estimate the price discovery function, the ARIMA-GARCH model to estimate the risk-hedging function, and the ARDL-ECM model to estimate the cointegration relationship of the futures and spot market. They document apple futures market to be weak-form efficient. Secondly, the apple futures market is not of semi-strong efficient because it generated abnormal profit margins amid China-US trade friction, climate disaster, and COVID-19, in terms the degree of impact, the COVID-19 pandemic had the greatest impact, followed by the rainstorm disaster and trade friction. Thirdly, the results of this study indicate that the cointegration relationships exist between the future market and the spot markets of the main producing areas. Over the study needs improvement. 

I think the authors should redraft the introduction and clearly identify the gap in literature and then how they intend to contribute towards it. The marginal contribution of the paper should be explicitly written. Secondly, the introduction section is too long. The author should develop a separate section for literature review. This section can be then be divided into segment on various aspects of commodity markets such as financialization, price discovery, various risk and return and hedging attributes. The author need to give a broader overview of commodity markets, agricultural markets and then zoom into the Apple market. Certain references need to be incorporated (please see list).  The discussion of results need to be more elaborate with a comparative analysis of the findings of this study with existing literature. Lastly, the manuscript need to be proof read for grammatical mistakes and typos .

References: 

https://doi.org/10.1080/00036846.2022.2103084

https://doi.org/10.1080/00036846.2021.1973949

 

 

Author Response

Please see the attachment.

Author Response File: Author Response.pdf

Round 2

Reviewer 1 Report

The authors have fixed the problem about the econometric model. Some wrong clarifications have solved.

Now it can be published.