The dynamic relationship between spot and futures price of soybean futures market in China

被引：0
|
作者：
Yajie Wang [1 ]
Yan Liu [1 ]
机构：
[1] Harbin Inst Technol, Sch Management, Harbin 150001, Peoples R China
来源：
Sixth Wuhan International Conference on E-Business, Vols 1-4: MANAGEMENT CHALLENGES IN A GLOBAL WORLD | 2007年
关键词：
basis analysis; Granger causality test; correlation analysis; Johnson co-integration test;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In agricultural futures markets of China, whether there is a correlation between the prices of spot and futures, has been a focus in these years. Taking soybean of Dalian Commodity Exchange as example, this paper examined the dynamic relationship between the prices of spot and futures, and analyzed quantitatively the magnitude of the role of this futures market in price discovery, using basis analysis, correlation analysis, Granger causality test and Johnson co-integration test, etc. The results of this research suggested that the spot and futures prices were co-integrated long-term, which though interacted strongly, spot price had impacted futures price more heavily showing an unidirectional feedback.
引用
收藏
页码：1955 / 1960
页数：6
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