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An Investigation of the Co-Movement between Spot and Futures Prices for Chinese Agricultural Commodities

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  • Yongmei Fang

    (College of Mathematics and Informatics, South China Agricultural University, Tianhe District, Guangzhou 510642, China
    College of Economics and Management, South China Normal University, 55 Zhongshan Avenue West, Tianhe District, Guangzhou 510631, China
    Cardiff Business School, Aberconway Building, Colum Drive, Cardiff CF10 3EU, UK)

  • Bo Guan

    (Cardiff Business School, Aberconway Building, Colum Drive, Cardiff CF10 3EU, UK)

  • Xu Huang

    (Headington Campus, Oxford Brookes Business School, Oxford Brookes University, Oxford OX3 0BP, UK)

  • Hossein Hassani

    (Research Institute for Energy Management and Planning, University of Tehran, Enghelab Square, 16 Azar St, Tehran 6718773654, Iran)

  • Saeed Heravi

    (Cardiff Business School, Aberconway Building, Colum Drive, Cardiff CF10 3EU, UK)

Abstract

We employed a non-parametric causality test based on Singular Spectrum Analysis (SSA) and used the Vector Error Correction Model (VECM) and Information Share Model (IS) to measure the relationship between the futures and spot prices for seven major agricultural commodities in China from 2009 to 2017. We found that the agricultural futures market has potential leading information in price discovery. The results of an Impulse Response Function (IRF) analysis also showed that the spot prices react to shocks from the future market and have a lasting impact. This confirms our findings reported for the causality test and information share analysis.

Suggested Citation

  • Yongmei Fang & Bo Guan & Xu Huang & Hossein Hassani & Saeed Heravi, 2024. "An Investigation of the Co-Movement between Spot and Futures Prices for Chinese Agricultural Commodities," JRFM, MDPI, vol. 17(7), pages 1-19, July.
    • Handle: RePEc:gam:jjrfmx:v:17:y:2024:i:7:p:299-:d:1434583
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    References listed on IDEAS

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    1. Breitung, Jorg & Candelon, Bertrand, 2006. "Testing for short- and long-run causality: A frequency-domain approach," Journal of Econometrics, Elsevier, vol. 132(2), pages 363-378, June.
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