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Research On Price Discovery In China’s Steel Market

Posted on:2013-04-01Degree:MasterType:Thesis
Country:ChinaCandidate:M MaFull Text:PDF
GTID:2269330422463875Subject:Quantitative Economics
Abstract/Summary:PDF Full Text Request
One of the important economic functions of futures market is price discoveryfunction, in an open, fair, efficient and competitive futures market, futures prices throughfutures trading has the characteristics of authenticity, predictability, continuity andauthority, which could reflect the changes in commodity prices in the future veritably. Thispaper uses a threshold cointegration model, combining characteristics of non-stationaryand non-linear, and researches the price change relationship between the futures and spotin China’s steel market, which has an significant meaning to capture the trend of steelprices in China.The test results obtained in this paper firstly confirmed the price discovery functionof steel futures markets, and there exists a long term equilibrium relationship betweenChina’s steel spot prices and international ore futures prices, while the relationship isnonlinear. Then, in this paper we estimated the threshold value of the model, whilecomparing the coefficient of the VAR part, founded that the adjustment is stronger andfaster when the threshold variable is above the threshold value. And there is anotherconclusion that the error correction effect is bigger in the spot prices when the thresholdvariable is no less than the threshold valve than that in international future market. Theseconclusions above could describe the nonlinear relationship between the spot pricechanges and international future market price movement, and it is able to guide the peoplein economic activities.
Keywords/Search Tags:cointegration theory, error correction model, threshold autoregression, threshold cointegration
PDF Full Text Request
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