Empirical Research on the Relationship between the Futures and Spot Prices of Cotton in China

被引：0
|
作者：
Wang, Lin [1 ]
Tian, Guixian [2 ]
机构：
[1] Guangdong Univ Sci & Technol, Sch Finance & Econ, Dongguan, Peoples R China
[2] Pingxiang Univ, Sch Business, Pingxiang, Peoples R China
来源：
JOURNAL OF INFORMATION PROCESSING SYSTEMS | 2024年 / 20卷 / 01期
关键词：
Cotton Futures Price; Cotton Spot Price; Spot Market; VAR;
D O I：
10.3745/JIPS.04.0302
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
This study constructed a VAR model with cotton futures and spot price data from April 30, 2009 to November 16, 2022, for empirical analysis utilizing the Granger causality test to analyze the dynamic relationship between cotton futures and spot market prices in China. The impulse response function and variance decomposition analysis showed that the cotton spot prices at flowering have a causal relationship with each other; in terms of mutual influence and impact, futures prices are higher than spot prices. Finally, it proposed countermeasures and suggestions from the perspective of establishing a standardized cotton spot market, improving the laws and regulations of the cotton futures market and trading system, and optimizing the structure of investment subjects.
引用
收藏
页码：76 / 84
页数：9
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