Price discovery in chinese agricultural futures markets: A comprehensive look

被引：57

作者：

Yang, Jian ^{[1
]}

Li, Zheng ^{[2
]}

Wang, Tao ^{[3
,4
]}

机构：

[1] Univ Colorado, Sch Business, JP Morgan Ctr Commod, Denver, CO 80217 USA

[2] Tianjin Univ Finance & Econ, Sch Finance, Tianjin, Peoples R China

[3] Queens Coll, Dept Econ, Flushing, NY USA

[4] CUNY, Grad Ctr, Flushing, NY USA

来源：

JOURNAL OF FUTURES MARKETS | 2021年 / 41卷 / 04期

基金：

中国国家自然科学基金;

关键词：

commodity futures; delivery; price discovery; recursive cointegration analysis; COMMODITY FUTURES; COINTEGRATION; VOLATILITY; SPOT; HYPOTHESIS;

D O I：

10.1002/fut.22179

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This study investigates price discovery performance for the 11 most traded agricultural commodity futures in China, proposing an improved recursive cointegration analysis. Despite a relatively short trading history and being subject to various policy interventions, China's agricultural futures markets generally play a more dominant role in the price discovery process as the markets become mature, even with further allowance for time variations and regional variations in the price discovery process. Additional analysis reveals various determinants of the contribution of futures versus local cash market prices in the price discovery process. There may also be seriously misleading inferences drawn from using nearby futures data in China.

引用

页码：536 / 555

页数：20

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