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Price discovery in chinese agricultural futures markets: A comprehensive look
Author(s) -
Yang Jian,
Li Zheng,
Wang Tao
Publication year - 2021
Publication title -
journal of futures markets
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.88
H-Index - 55
eISSN - 1096-9934
pISSN - 0270-7314
DOI - 10.1002/fut.22179
Subject(s) - price discovery , futures contract , cointegration , allowance (engineering) , economics , china , financial economics , commodity , cash , agriculture , econometrics , macroeconomics , market economy , ecology , operations management , biology , political science , law
Abstract This study investigates price discovery performance for the 11 most traded agricultural commodity futures in China, proposing an improved recursive cointegration analysis. Despite a relatively short trading history and being subject to various policy interventions, China's agricultural futures markets generally play a more dominant role in the price discovery process as the markets become mature, even with further allowance for time variations and regional variations in the price discovery process. Additional analysis reveals various determinants of the contribution of futures versus local cash market prices in the price discovery process. There may also be seriously misleading inferences drawn from using nearby futures data in China.