Proceedings of the 2015 3d International Conference on Advanced Information and Communication Technology for Education

An Empirical Analysis of the Price Discovery Function of Dalian Soybean Futures Market

Authors
Xiang Yi, Sun Qiming, Sun Yin, Li Kai
Corresponding Author
Xiang Yi
Available Online August 2015.
DOI
10.2991/icaicte-15.2015.74How to use a DOI?
Keywords
soybean futures, Price discovery,Granger causality test,causality,impulse response
Abstract

Using the daily closing prices of the soybean futures in Dalian future markets and the average price of the soybean spots in different provinces in China from December 1th.2014 to April 30th.2015 , this paper analyzes the role of Dalian soybean futures by applying correlation analyses, unit root test, co-integration test(Kao,Johansen,E-G), Granger causality test, error correction model,impulse response and variance decomposition. The results of such models and analysis indicate that a strong relationship between the spot price of soybean and the future price of its exists. In other words, an effective price discovery function is available in Dalian soybean future market.

Copyright
© 2015, 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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Volume Title
Proceedings of the 2015 3d International Conference on Advanced Information and Communication Technology for Education
Series
Advances in Computer Science Research
Publication Date
August 2015
ISBN
978-94-62520-96-7
ISSN
2352-538X
DOI
10.2991/icaicte-15.2015.74How to use a DOI?
Copyright
© 2015, 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  - Xiang Yi
AU  - Sun Qiming
AU  - Sun Yin
AU  - Li Kai
PY  - 2015/08
DA  - 2015/08
TI  - An Empirical Analysis of the Price Discovery Function of Dalian Soybean Futures Market
BT  - Proceedings of the 2015 3d International Conference on Advanced Information and Communication Technology for Education
PB  - Atlantis Press
SP  - 308
EP  - 312
SN  - 2352-538X
UR  - https://doi.org/10.2991/icaicte-15.2015.74
DO  - 10.2991/icaicte-15.2015.74
ID  - Yi2015/08
ER  -