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/).
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 -