The impact of the Chinese cornstarch futures on spot market and corn futures market

Artikel

This article investigates price transmission mechanism and volatility impact between Chinese cornstarch futures market and relevant markets through Johansen cointegration test, VEC model and GARCH model. The empirical results indicated that the Chinese cornstarch futures price could guide cornstarch spot price uni-directionally and there are long-term cointegration relationships between them. There is a co-integration and bi-directional lead relationship between cornstarch futures price and corn futures price. The launch of cornstarch futures market can slightly reduce volatility of domestic corn futures market. However, the launch of cornstarch futures market has no significant impact on the spot market.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Cogent Economics & Finance ; ISSN: 2332-2039 ; Volume: 5 ; Year: 2017 ; Issue: 1 ; Pages: 1-30 ; Abingdon: Taylor & Francis

Classification and Topics

• Classification: Wirtschaft
• Subject: cornstarch futures ; spot price ; price transmission ; volatility

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Agyekum, Crentsil Kofi ; Huang, Haifeng ; Chen, Jianshu
• Event: Veröffentlichung
• (who): Taylor & Francis
• (where): Abingdon
• (when): 2017

Further information

• DOI: doi:10.1080/23322039.2017.1405580
• Handle: http://hdl.handle.net/10419/194739
• Last update: 10.03.2025, 11:44 AM CET