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Long-Run Equilibrium Research Between Futures Market And Spot Market In China Based On Co-Integration Theory

Posted on:2005-09-30Degree:MasterType:Thesis
Country:ChinaCandidate:J F LiuFull Text:PDF
GTID:2156360122987450Subject:Management Science and Engineering
Abstract/Summary:PDF Full Text Request
Nowadays, future market, which has already become an indispensable component in economy worldwide, is playing an increasingly important role in the stability of economy. With the establishment of market economy in China, future market has become significantly vital in both stabling economical fluctuation and regulating the supply and demand on spot market ever since 1990s. Economists all over the world have been engaging in the task that to relate spot market with future market which has the function of price discovery and risk avoidance. Through applying co-integration theory into the research of the relationship between price in spot market and that in future market to haunt for their long-term equilibrium connection is the result this article struggle to reach. Taking the spot market and future market in China as background, taking the prices of future contract on Shanghai Future Exchange and Zhengzhou Commodity Exchange and their relevant prices in spot market as object, we take unit root test, co-integration test, estimate of co-integration vector and Granger causality test in turn ,so as to draw the conclusion that not only long-term equilibrium connection but also causality relationship exist in correlativity of spot price and future price and the differences between the two. The achievement greatly supports the point that future market has the function of price discovery and risk avoidance.
Keywords/Search Tags:futures market, spot market, price discovery, co-integration, Granger causality test, unit root test
PDF Full Text Request
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