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 approaches for studying information flows among non-synchronous markets are applied: cointegration techniques, vector autoregressive analysis and multiple regression proposed. Although comparable underlying assets are traded in the four markets, our results indicate that no long-run links exist among them. ZCE is by far the most endogenous market, and Euronext/Liffe is the most exogenous one. Finally, the model points to KCBT as the most influential and sensitive wheat market. Our findings indicate that the relative openness of the SAFEX wheat market supports information flows and linkages from KCBT and Euronext/Liffe. Therefore, our results suggest that more supportive policies to incentivise higher wheat production in South Africa are required to mitigate the impact of price shocks emanating from the global wheat markets. JEL Classification: C32, G15, G23

This article examines maturity effects for futures contracts listed on the South African Futures Exchange (SAFEX). Three classes of derivative contracts are examined; agricultural, metals and energy futures. Estimation of the Samuelson effect is by ordinary least squares (OLS) approach using the volatility estimator in Garman and Klass (1980), Parkinson (1980) and Serletis (1992). The analysis simultaneously tests for the Samuelson effect while establishing significance of traded volume, change in open interest and bid-ask spread on intraday volatility. Multicollinearity and seasonality are incorporated to examine if maturity effects remain in the contracts. Findings are that only wheat supports maturity effects. However, white maize and silver volatility decline as time-to-maturity diminishes. The implications of the results for traders and market participants are discussed.

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