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Does China's iron ore futures market have price discovery function?: analysis based on VECM and State-space perspective

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Veröffentlicht in: Journal of business economics and management 20(2019), 6, Seite 1083-1101
Personen und Körperschaften: Ge, Yongbo (VerfasserIn), Cao, Tingting (VerfasserIn), Jiang, Ruchuan (VerfasserIn), Liu, Peide (VerfasserIn), Xie, Hengxin (VerfasserIn)
Titel: Does China's iron ore futures market have price discovery function?: analysis based on VECM and State-space perspective/ Yongbo Ge, Tingting Cao, Ruchuan Jiang, Peide Liu, Hengxin Xie
Format: E-Book-Kapitel
Sprache: Englisch
veröffentlicht:
2019
Gesamtaufnahme: : Journal of business economics and management, 20(2019), 6, Seite 1083-1101
, volume:20
Schlagwörter:
Quelle: Verbunddaten SWB
Lizenzfreie Online-Ressourcen
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author Ge, Yongbo, Cao, Tingting, Jiang, Ruchuan, Liu, Peide, Xie, Hengxin
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contents As the world's largest importer, trading of iron ore occupies a pivotal position in China's international trade. In order to seek the decision power of deciding the price for iron ore, China's Dalian Commodity Exchange (DCE) listed iron ore futures in October 2013,which has become the world's largest iron ore financial derivatives trading market now. Based on VECM and state-space perspective, this paper aims to explore the price discovery function of iron ore futures on the DCE. Comprehensive analysis from the views of long-term equilibrium relationship, short-term information shocks and dynamic contribution share are made in this paper. The empirical results show that: firstly, from the perspective of cointegration test, there is a long-term equilibrium relationship between the futures prices in DCE and the spot prices; secondly, when facing with short-term information shocks, iron ore futures in DCE have an obviously price discovery function by the analysis of impulse response and variance decomposition; finally, by the way of state-space and Kalman filter algorithm, the long-term equilibrium relationship dynamic contribution for price discovery function of DCE's iron ore futures remains stable between 60% and 70% now.
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spelling Ge, Yongbo VerfasserIn (DE-588)1206736046 (DE-627)1693009994 aut, Does China's iron ore futures market have price discovery function? analysis based on VECM and State-space perspective Yongbo Ge, Tingting Cao, Ruchuan Jiang, Peide Liu, Hengxin Xie, 2019, Text txt rdacontent, Computermedien c rdamedia, Online-Ressource cr rdacarrier, DE-206 Open Access Controlled Vocabulary for Access Rights http://purl.org/coar/access_right/c_abf2, As the world's largest importer, trading of iron ore occupies a pivotal position in China's international trade. In order to seek the decision power of deciding the price for iron ore, China's Dalian Commodity Exchange (DCE) listed iron ore futures in October 2013,which has become the world's largest iron ore financial derivatives trading market now. Based on VECM and state-space perspective, this paper aims to explore the price discovery function of iron ore futures on the DCE. Comprehensive analysis from the views of long-term equilibrium relationship, short-term information shocks and dynamic contribution share are made in this paper. The empirical results show that: firstly, from the perspective of cointegration test, there is a long-term equilibrium relationship between the futures prices in DCE and the spot prices; secondly, when facing with short-term information shocks, iron ore futures in DCE have an obviously price discovery function by the analysis of impulse response and variance decomposition; finally, by the way of state-space and Kalman filter algorithm, the long-term equilibrium relationship dynamic contribution for price discovery function of DCE's iron ore futures remains stable between 60% and 70% now., DE-206 Namensnennung 4.0 International CC BY 4.0 cc https://creativecommons.org/licenses/by/4.0/, Aufsatz in Zeitschrift DE-206, Cao, Tingting VerfasserIn (DE-588)1206736070 (DE-627)1693010151 aut, Jiang, Ruchuan VerfasserIn (DE-588)1206736100 (DE-627)1693010259 aut, Liu, Peide VerfasserIn (DE-588)143682245 (DE-627)651696461 (DE-576)338353631 aut, Xie, Hengxin VerfasserIn (DE-588)1206736143 (DE-627)1693010399 aut, Enthalten in Journal of business economics and management Vilnius : VTGU Publ. House "Technika", 2003 20(2019), 6, Seite 1083-1101 Online-Ressource (DE-627)55226010X (DE-600)2400520-4 (DE-576)27798033X 2029-4433 nnns, volume:20 year:2019 number:6 pages:1083-1101, https://journals.vgtu.lt/index.php/JBEM/article/download/10604/9142 Verlag kostenfrei, https://doi.org/10.3846/jbem.2019.10604 Resolving-System kostenfrei, https://doi.org/10.3846/jbem.2019.10604 LFER, https://journals.vgtu.lt/index.php/JBEM/article/download/10604/9142 LFER, LFER 2020-04-07T00:00:00Z
spellingShingle Ge, Yongbo, Cao, Tingting, Jiang, Ruchuan, Liu, Peide, Xie, Hengxin, Does China's iron ore futures market have price discovery function?: analysis based on VECM and State-space perspective, As the world's largest importer, trading of iron ore occupies a pivotal position in China's international trade. In order to seek the decision power of deciding the price for iron ore, China's Dalian Commodity Exchange (DCE) listed iron ore futures in October 2013,which has become the world's largest iron ore financial derivatives trading market now. Based on VECM and state-space perspective, this paper aims to explore the price discovery function of iron ore futures on the DCE. Comprehensive analysis from the views of long-term equilibrium relationship, short-term information shocks and dynamic contribution share are made in this paper. The empirical results show that: firstly, from the perspective of cointegration test, there is a long-term equilibrium relationship between the futures prices in DCE and the spot prices; secondly, when facing with short-term information shocks, iron ore futures in DCE have an obviously price discovery function by the analysis of impulse response and variance decomposition; finally, by the way of state-space and Kalman filter algorithm, the long-term equilibrium relationship dynamic contribution for price discovery function of DCE's iron ore futures remains stable between 60% and 70% now., Aufsatz in Zeitschrift
title Does China's iron ore futures market have price discovery function?: analysis based on VECM and State-space perspective
title_auth Does China's iron ore futures market have price discovery function? analysis based on VECM and State-space perspective
title_full Does China's iron ore futures market have price discovery function? analysis based on VECM and State-space perspective Yongbo Ge, Tingting Cao, Ruchuan Jiang, Peide Liu, Hengxin Xie
title_fullStr Does China's iron ore futures market have price discovery function? analysis based on VECM and State-space perspective Yongbo Ge, Tingting Cao, Ruchuan Jiang, Peide Liu, Hengxin Xie
title_full_unstemmed Does China's iron ore futures market have price discovery function? analysis based on VECM and State-space perspective Yongbo Ge, Tingting Cao, Ruchuan Jiang, Peide Liu, Hengxin Xie
title_in_hierarchy Does China's iron ore futures market have price discovery function?: analysis based on VECM and State-space perspective / Yongbo Ge, Tingting Cao, Ruchuan Jiang, Peide Liu, Hengxin Xie,
title_short Does China's iron ore futures market have price discovery function?
title_sort does china s iron ore futures market have price discovery function analysis based on vecm and state space perspective
title_sub analysis based on VECM and State-space perspective
topic Aufsatz in Zeitschrift
topic_facet Aufsatz in Zeitschrift
url https://journals.vgtu.lt/index.php/JBEM/article/download/10604/9142, https://doi.org/10.3846/jbem.2019.10604