Research on the Relationship between Iron Ore Futures Price and Spot Price in China

DOI

10.2991/icsser-18.2018.85How to use a DOI?

Keywords

Iron ore futures price; Iron ore spot price; Cointegration test; Vector error correction model; Impulse response

Abstract

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.

Copyright

© 2018, 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  - Hui Sheng
PY  - 2018/10
DA  - 2018/10
TI  - Research on the Relationship between Iron Ore Futures Price and Spot Price in China
BT  - Proceedings of the 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  - 10.2991/icsser-18.2018.85
ID  - Sheng2018/10
ER  -