Research on the Price Discovery Function of Chinese Corn Futures Market

DOI

10.2991/hss-26.2016.95How to use a DOI?

Keywords

Price discovery function, Vector error correction model, State space model, Kalman filter method.

Abstract

For researching the function of price discovery in the Chinese corn futures market, this article uses cointegration test, Granger causality test, vector error correction model and state space model to analyze the corn futures market. The empirical results indicate that corn futures market and the spot market have a cointegration relationship, and the spot market price dominates the futures market price. Using the Kalman filter method, the dynamic contribution rate of corn futures market and spot market is calculated. The results show that the corn futures market is in a dominant position of price discovery function. The above results can be drawn of the corn futures market has a certain price discovery function.

Copyright

© 2016, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Wei Guan
AU  - Mu Zhang
PY  - 2016/01
DA  - 2016/01
TI  - Research on the Price Discovery Function of Chinese Corn Futures Market
BT  - Proceedings of the 2016 International Conference on Humanities and Social Science
PB  - Atlantis Press
SP  - 559
EP  - 565
SN  - 2352-5398
UR  - https://doi.org/10.2991/hss-26.2016.95
DO  - 10.2991/hss-26.2016.95
ID  - Guan2016/01
ER  -