| Autor: |
Fang, Yongmei, Guan, Bo, Huang, Xu, Hassani, Hossein, Heravi, Saeed |
| Předmět: |
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| Zdroj: |
Journal of Risk & Financial Management; Jul2024, Vol. 17 Issue 7, p299, 19p |
| Abstrakt: |
We employed a non-parametric causality test based on Singular Spectrum Analysis (SSA) and used the Vector Error Correction Model (VECM) and Information Share Model (IS) to measure the relationship between the futures and spot prices for seven major agricultural commodities in China from 2009 to 2017. We found that the agricultural futures market has potential leading information in price discovery. The results of an Impulse Response Function (IRF) analysis also showed that the spot prices react to shocks from the future market and have a lasting impact. This confirms our findings reported for the causality test and information share analysis. [ABSTRACT FROM AUTHOR] |
| Databáze: |
Complementary Index |
| Externí odkaz: |
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