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Empirical study on price discovery function of commodity futures market
Qu, Hong-Tao (1); Zhuang, Xin-Tian (1); Su, Yan-Li (2); Guan, Jie (1)
2011, 32 (9):
1364-1368.
DOI: -
Through the application of correlation analysis, Granger test, EG two-step test, Johansen co-integration test, impulse response functions and variance decomposition method, the futures price discovery function on gold, silver, oil, aluminum, and copper were investigated. The results showed that the futures leads spots price in the short term, but in long run, there is no co-integration relationship between the futures price and spots price on gold. Generally, in the short term, the futures leads spots price, and in long run, there is co-integration relationship between the futures price and spots price on silver, oil, aluminum, and copper. Finally, based on the different characteristics of each commodity, the strategies of effective use of the futures market in China are suggested and proposed.
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