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Price discovery and volatility spillovers between futures and spot cotton market in China
HE Xiao-yan, ZHANG Shu-lin
Systems Engineering - Theory & Practice ›› 2013, Vol. 33 ›› Issue (7) : 1723-1728.
PDF(672 KB)
PDF(672 KB)
Price discovery and volatility spillovers between futures and spot cotton market in China
The purpose of this paper is to describe the dynamic relationship between futures and spot cotton market in China. Price discovery and volatility spillovers were examined for futures and spot cotton market based on VEC model, Granger causality test, impulse response analysis and BEKK model. The empirical results show that there is a cointegration relation between spot and futures prices of cotton. The futures market is the leader of price discovery in long-term, although bidirectional Granger causality are observed in short run. Meanwhile, the response of futures market is faster than spot market when they received impacts at the same time. Besides, there are strong volatility lagging effects and volatility spillovers in both markets, which in futures market are dominant.
futures price / spot price / price discovery / volatility spillovers / BEKK model {{custom_keyword}} /
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