The market linkages among the non-genetically modified (non-GM) soybean, conventional soybean, and corn futures markets at the Tokyo Grain Exchange are investigated to find out if the two soybean futures markets and the corn futures market share valuable price information in the presence of unknown breaks. The results reveal that there are market linkages between the non-GM and conventional soybean futures prices and between the non-GM soybean and corn futures prices and that these markets do

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... fluence one another. Yet the breaks found in the soybean futures price affected these linkages and there were periods where the two soybean and corn futures markets were not cointegrated. Hence these markets are efficient when the effect from the breaks is not apparent but they become inefficient when the breaks are affecting the three markets.