An investigation of the co-movement between spot and futures prices for Chinese agricultural commodities

Fang, Yongmei, Guan, Bo ORCID: https://orcid.org/0000-0001-9764-5646, Huang, Xu, Hassani, Hossein and Heravi, Saeed ORCID: https://orcid.org/0000-0002-0198-764X 2024. An investigation of the co-movement between spot and futures prices for Chinese agricultural commodities. Journal of Risk and Financial Management 17 (7) , 299. 10.3390/jrfm17070299

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Abstract

We employed a non-parametric causality test based on Singular Spectrum Analysis (SSA) and used the Vector Error Correction Model (VECM) and Information Share Model (IS) to measure the relationship between the futures and spot prices for seven major agricultural commodities in China from 2009 to 2017. We found that the agricultural futures market has potential leading information in price discovery. The results of an Impulse Response Function (IRF) analysis also showed that the spot prices react to shocks from the future market and have a lasting impact. This confirms our findings reported for the causality test and information share analysis

Item Type:	Article
Date Type:	Publication
Status:	Published
Schools:	Business (Including Economics)
Subjects:	H Social Sciences > HG Finance
Publisher:	MDPI
ISSN:	1911-8074
Funders:	Guangdong Planning Office of Philosophy and Social Science
Date of First Compliant Deposit:	13 July 2024
Date of Acceptance:	11 July 2024
Last Modified:	15 Jul 2024 10:56
URI:	https://orca.cardiff.ac.uk/id/eprint/170582

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