Cointegration Analysis of Commodity Futures Prices in Dalian, China and Chicago&#x0D;

Jin-wen, Zhao

doi:10.2139/ssrn.455120

Cited by 5 publications

(3 citation statements)

References 2 publications

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“…Past researchers consider U.S. markets to be the dominant market, leading other developing markets. However, few studies have also documented evidence of price discovery and price transmission from Chinese commodity exchanges (Zhao 2002;Demir et al 2018). Moreover, Ruggiero (2008) and Henriques (2008) have attributed the abnormal spikes and volatility in commodity prices due to the excessive speculation in derivative markets of developing markets (Fung et al 2013).…”

Section: Countrymentioning

confidence: 99%

Price Transmission in Cotton Futures Market: Evidence from Three Countries

Singh¹,

Soni²

2021

JRFM

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This study examines the price transmission between cotton prices in U.S., Indian, and Chinese futures markets. We focus on studying the long-run price movements using cointegration and alternate causality tests. The empirical results indicate the following: (a) the U.S. cotton futures market continues to be the most dominant market, and it leads price changes in India and China; (b) the cotton prices in India also impacts the cotton prices in China as we report a unidirectional relationship flowing from India to China; (c) there is duality of direction of price transmission for U.S. and Chinese commodity markets as we document bi-directional causality between U.S. to Chinese cotton futures for the entire period and uni-directional causality from U.S. to Chinese markets for the two sub-periods; (d) the long-term relationship between the three markets has seen a significant shift as documented by the absence of cointegration which may be due to changes in government policy, especially in India and China specifically after 2014. Overall, results provide support for further reforms especially for Indian and Chinese commodity exchanges so that they can play a vital role in the price discovery process especially for commodities that are largely produced or consumed in these economies.

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Section: Countrymentioning

confidence: 99%

Price Transmission in Cotton Futures Market: Evidence from Three Countries

Singh¹,

Soni²

2021

JRFM

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“…Researchers in the past have explored the linkage between markets with a special focus of China. Zhao (2002) has studied in detail the degree of association between Chinese commodity futures market with international futures market. In one of the very crucial studies done by Garrigues et al (2014) it has been indicated that it is Comex, followed by the SHFE, not the LME which plays the most important role in copper price discovery.…”

Section: Background Literaturementioning

confidence: 99%

Exploratory Study of Select Commodity and Equity Indices Around the Meltdown of 2008

Mukherjee

Mallick

2016

International Trade and International Finance

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Many believe that the world of investment is becoming complicated and more volatile with every passing day. What makes it even more interesting is the complexity of the market particularly for those select instruments which are traded on electronic exchanges, be it equity, commodity or currency, to name a few. Each investment market has its own dynamics and their inter-linkages are even more exciting.

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“…The results are mixed. Some of them demonstrate that China's major commodity futures, such as rice, corn, and soybean, exhibit cointegration relationships with foreign markets (Wu, 2001; Zhao, 2002), while others show no evidence of such relationship for wheat (Du and Wang, 2004; Fung et al, 2003). Despite the fact that cotton is an enormously important commodity throughout the world, no research that we are aware of has been conducted to investigate the linkage of these major cotton futures markets.…”

Section: Introductionmentioning

confidence: 99%

Cotton market integration and the impact of China's new exchange rate regime

Wang

Ahn

2010

Agricultural Economics

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This article studies the integration of China's cotton market with the international market, especially the U.S. market. Investigating the futures prices from the Intercontinental Exchange (ICE) in the U.S. and the Zhengzhou Commodity Exchange (ZCE) in China with several time series models, we find that a long-run cointegration relationship exists between these two series. The two markets share price transmissions, and based on results from an Autoregressive Conditional Heteroskedasticity (ARCH) model, we find their price volatilities are similar. We argue that China's recent exchange rate reform and its gradual liberalization in bilateral cotton trade since it joined World Trade Organization have had important impacts on these futures markets. Based on these findings, several important economic and policy implications are derived. Copyright (c) 2010 International Association of Agricultural Economists.

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Cointegration Analysis of Commodity Futures Prices in Dalian, China and Chicago

Cited by 5 publications

References 2 publications

Price Transmission in Cotton Futures Market: Evidence from Three Countries

Price Transmission in Cotton Futures Market: Evidence from Three Countries

Exploratory Study of Select Commodity and Equity Indices Around the Meltdown of 2008

Cotton market integration and the impact of China's new exchange rate regime

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