Proceedings of the 2016 International Forum on Management, Education and Information Technology Application

Stability of Spot price and Futures market for Agricultural commodity: based on the sugar products

Authors
Zijian Yang
Corresponding Author
Zijian Yang
Available Online January 2016.
DOI
https://doi.org/10.2991/ifmeita-16.2016.96How to use a DOI?
Keywords
spot price stability, agricultural futures market, futures trading volume,GARCH
Abstract
The mechanism of the stability of spot price will be further analyzed on the basis of ARMA-GARCH model, selecting the daily data of the spot price and the futures price of sugar products. However, as the new factors appeared, it is inappropriate to analyze by GARCH model with dummy variable. Thus, the paper also establish the GARCH model with futures trading volume to verify the spot price stability function of the futures market and test the robustness of the model. The results show that the spot prices tend to be stable with the improvement of agricultural futures market, but different agricultural futures market are not the same.
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Proceedings
2016 International Forum on Management, Education and Information Technology Application
Part of series
Advances in Social Science, Education and Humanities Research
Publication Date
January 2016
ISBN
978-94-6252-166-7
ISSN
2352-5398
DOI
https://doi.org/10.2991/ifmeita-16.2016.96How to use a DOI?
Open Access
This is an open access article distributed under the CC BY-NC license.

Cite this article

TY  - CONF
AU  - Zijian Yang
PY  - 2016/01
DA  - 2016/01
TI  - Stability of Spot price and Futures market for Agricultural commodity: based on the sugar products
BT  - 2016 International Forum on Management, Education and Information Technology Application
PB  - Atlantis Press
SP  - 517
EP  - 522
SN  - 2352-5398
UR  - https://doi.org/10.2991/ifmeita-16.2016.96
DO  - https://doi.org/10.2991/ifmeita-16.2016.96
ID  - Yang2016/01
ER  -