Research on the Price Discovery Function of Chinese Corn Futures Market
Wei Guan, Mu Zhang
Available Online January 2016.
- 10.2991/hss-26.2016.95How to use a DOI?
- Price discovery function, Vector error correction model, State space model, Kalman filter method.
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.
- © 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/).
Cite this article
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 -