Research On Dynamic Correlation Between Cotton Future Market And Spot Market In China

In2008, the financial crisis triggered by the U.S. subprime mortgage crisis sweeping theglobe, and quickly spread to the real economy. Since then, the global economy fell into is worsethan in1929, the Great Depression. This crisis to global agriculture, particularly the cottonindustry, the greatest impact of the weak worldwide demand for cotton. China by industry as theworld’s largest cotton-producing countries, the impact is obvious. As we all know, the mainfunction of the futures market price discovery, hedging, asset allocation, and give full play to thesefeatures on the cotton futures market prerequisite is to in-depth study of cotton futures and spotprices of dynamic correlation understand the period, the spot market between the real operation.Dynamic correlation, including (but not limited to) period, the long-run equilibrium relationshipbetween the spot price and lead-lag between price series (the first moment) sequences of relationsand yield volatility (second moment) spillovers. Make full use of understand the dynamic betweenfutures and spot prices, effectively circumvent the international financial crisis in the cotton spotprice risk, improve operating income of farmers planting cotton prices as well as to enhance ChinaCotton international competitiveness have important practical significance.In this paper,based on the other futures varieties (such as stock index futures, industrialproducts, futures, etc.), select2004-2012all cotton futures prices and spot prices data for deeplydynamic correlation empirical research between China’s cotton future market and spot market, tworesearch perspectives overflow effect and volatility spillovers from the price of cotton futures andspot prices of dynamic relationship causal relationship analysis, examining China’s cotton futuresmarket and the spot market price, the price discovery contribution the existence of volatilityspillovers and asymmetry. Cotton futures price discovery function for market participants in theformulation of the hedging operation strategy to provide theoretical support, the ability to improvethe futures market, the spot market operating efficiency judgments for the study of marketvolatility on the one hand, in order to prevent speculative capital market volatility and other issuescaused by short-term speculation tangible theoretical basis; on the one hand, help market makersmore granular demands of the risk regulatory, risk control; On the other hand, helps in derivativessuch as futures pricing of products, build a portfolio risk diversification and the development ofwith operability financial regulatory policy issues to solve. All in all, China’s policy makers,market participants and regulators will have important practical significance.