Huang, Huilian; Xiong, Tao - In: Journal of applied economics 23 (2020) 1, pp. 1-20
We use a Supremum Augmented Dickey-Fuller test to detect price bubbles in the world's most important sugar futures … of price bubbles on market integration and explore the cause of price bubbles in a macro-economic environment. Empirical … results show futures markets are more integrative when price bubbles occur. We find sugar futures price bubbles reflect supply …