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Dynamic correlation between hog futures and industry chain: an empirical study based on time-varying copula model

Author

Listed:
  • Hui Liu

    (NanFang College GuangZhou)

  • Xiaoying Zhong

    (NanFang College GuangZhou)

  • Zewu Jiang

    (NanFang College GuangZhou)

  • Shenghan Lai

    (NanFang College GuangZhou)

Abstract

To stabilize hog price and promote hog industry chain development, this research adopted a time-varying copula model to analyze the data collected in the time period of January 8th 2021 to May 31th 2023, encompassing the period when hog futures were listed. The results indicated a significant positive correlation between hog futures and soybean meal and while there is a certain degree of dependency in the relationship with corn spot prices in China. The lower tail correlation between hog futures and hog spot prices was higher than the upper tail correlation, suggesting that hog futures served as a tool for price discovery and guidance, especially during the periods when prices were declined. Therefore, it is advisable to expand the influence and utilization of the hog futures market. Doing so will allow us to more effectively leverage the hog futures market for price discovery and hedging strategies, ultimately contributing to the stability of the hog industry chain and supporting the sustainable development of the sector. This heightened influence will also bring benefits to policy makers, farmers, traders, and consumers by providing them with a more reliable and transparent pricing mechanism. This study provided a new perspective for the optimization of policy making and risk management in hog industry, offering valuable insights for participants and policymakers in hog supply chain.

Suggested Citation

  • Hui Liu & Xiaoying Zhong & Zewu Jiang & Shenghan Lai, 2024. "Dynamic correlation between hog futures and industry chain: an empirical study based on time-varying copula model," International Journal of System Assurance Engineering and Management, Springer;The Society for Reliability, Engineering Quality and Operations Management (SREQOM),India, and Division of Operation and Maintenance, Lulea University of Technology, Sweden, vol. 15(11), pages 5356-5366, November.
    • Handle: RePEc:spr:ijsaem:v:15:y:2024:i:11:d:10.1007_s13198-024-02542-1
    DOI: 10.1007/s13198-024-02542-1
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    References listed on IDEAS

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