Research on the Relationship between Iron Ore Futures Price and Spot Price in China
Available Online October 2018.
- https://doi.org/10.2991/icsser-18.2018.85How to use a DOI?
- Iron ore futures price; Iron ore spot price; Cointegration test; Vector error correction model; Impulse response
- Based on cointegration test, vector error correction model and impulse response function, this paper took the relevant daily data from October 2013 to May 2018 as the research object to study the relationship between iron ore futures price and spot price in China. The results show that there is a long-term equilibrium relationship between iron ore futures price and spot price. Compared with the futures market, the spot market is more sensitive to the departure of short-term price from equilibrium, and adjusts long-term equilibrium more quickly. The spot price unidirectionally guides the futures price. The impact strength of the futures market on the spot market is higher than that of the spot market on the futures market.
- Open Access
- This is an open access article distributed under the CC BY-NC license.
Cite this article
TY - CONF AU - Hui Sheng PY - 2018/10 DA - 2018/10 TI - Research on the Relationship between Iron Ore Futures Price and Spot Price in China BT - 2018 International Conference on Social Science and Education Reform (ICSSER 2018) PB - Atlantis Press SP - 356 EP - 360 SN - 2352-5398 UR - https://doi.org/10.2991/icsser-18.2018.85 DO - https://doi.org/10.2991/icsser-18.2018.85 ID - Sheng2018/10 ER -