scholarly journals Dynamic Price Discovery in Chinese Agricultural Futures Markets

2021 ◽  
pp. 101370
Author(s):  
Miao Li ◽  
Tao Xiong
Keyword(s):  
Futures Markets ◽  
Price Discovery ◽  
Dynamic Price ◽  
Agricultural Futures

scholarly journals Dynamic Price Discovery Process of Chinese Agricultural Futures Markets: An Empirical Study Based on the Rolling Window Approach

2019 ◽  
Vol 51 (04) ◽  
pp. 664-681 ◽  
Author(s):  
Yuanyuan Xu ◽  
Fanghui Pan ◽  
Chuanmei Wang ◽  
Jian Li
Keyword(s):  
Futures Markets ◽  
Price Discovery ◽  
Cointegration Analysis ◽  
Agricultural Policies ◽  
Dynamic Price ◽  
Rolling Window ◽  
Agricultural Futures ◽  
Stabilization Policies ◽  
The Difference ◽  
Window Approach

AbstractWe investigate the dynamic evolution of the price discovery function in Chinese agricultural futures markets using a newly developed rolling window cointegration approach. The results show that, compared with wheat and rice, the futures-spot cointegration relationship in the soybean and corn markets tends to be more durable and frequent. Dynamic cointegration analysis indicates that the recent market-oriented reforms in China have boosted the price discovery function of soybean and corn futures markets, whereas price stabilization policies tend to weaken the price discovery function of futures markets. The difference in price discovery function is attributed to differences in market mechanisms and Chinese agricultural policies.

scholarly journals Risk Transmission between Chinese and U.S. Agricultural Commodity Futures Markets—A CoVaR Approach

2019 ◽  
Vol 11 (1) ◽  
pp. 239 ◽  
Author(s):  
Yangmin Ke ◽  
Chongguang Li ◽  
Andrew M. McKenzie ◽  
Ping Liu
Keyword(s):  
Value At Risk ◽  
Futures Markets ◽  
Price Discovery ◽  
Commodity Futures ◽  
Conditional Value At Risk ◽  
Chinese Government ◽  
Agricultural Commodity ◽  
Futures Exchanges ◽  
Commodity Futures Markets ◽  
Agricultural Futures

Commodity futures markets play an important role, through risk management and price discovery, in helping firms make sustainable production and marketing decisions. An important related issue is how pricing signals between futures exchanges impact traders’ risk. We address this issue by shedding light on risk transmission between the most mature (U.S.) and the fastest growing (Chinese) commodity futures markets. Gaining greater insight of risk transmission between these key markets is vitally important to firms engaged in the efficient and sustainable trade of commodities needed to feed the world. We examine the risk transmission between Chinese and U.S. agricultural futures markets for soybean, corn, and sugar with a Copula based conditional value at risk (CoVaR) approach. We find significant upside, and to a lesser extent downside risk transmission, between Chinese and U.S. markets. We confirm the dominant pricing role of U.S. agricultural futures markets while acknowledging the increasing price discovery role performed by Chinese markets. Our results highlight that soybean markets exhibit greater risk transmission than sugar and corn markets. We argue that our findings may be explained by Chinese government policy intervention, and by the large role played by U.S. firms in the underlying cash commodity markets–both in terms of production and trade.

scholarly journals Assessing the Current Situation of the World Wheat Market Leadership: Using the Semi-Parametric Approach

Mathematics ◽  
2021 ◽  
Vol 9 (2) ◽  
pp. 115
Author(s):  
Osama Ahmed
Keyword(s):  
Futures Markets ◽  
Price Discovery ◽  
The United States ◽  
The Black Sea ◽  
Correction Model ◽  
Black Sea Region ◽  
Dynamic Copula ◽  
Wheat Market ◽  
The World ◽  
Market Leadership

This paper examines the world wheat market leadership using price discovery occurring in wheat futures markets of the United States (U.S.) and Europe. An error correction model (ECM) generalized autoregressive conditional heteroskedasticity (GARCH), and semi-parametric dynamic copula methods are used for this purpose. The results indicate a positive link between U.S. and Europe price discovery which is stronger, fluctuating less after August 2010 because of a drought occurring in the Black Sea region, and then lessens, fluctuating more after 2015 with the changing wheat trade map. Furthermore, after 2015, wheat market leadership moved from the U.S. to the European market, meaning price discovery is primarily located by the Marché à Terme International de France (MATIF) futures market.

Sign in / Sign up

Export Citation Format

Share Document