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Dynamic Price Discovery Process of Chinese Agricultural Futures Markets: An Empirical Study Based on the Rolling Window Approach
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Zeitschriftentitel: | Journal of Agricultural and Applied Economics |
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Personen und Körperschaften: | , , , |
In: | Journal of Agricultural and Applied Economics, 51, 2019, 4, S. 664-681 |
Format: | E-Article |
Sprache: | Englisch |
veröffentlicht: |
Cambridge University Press (CUP)
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Schlagwörter: |
author_facet |
Xu, Yuanyuan Pan, Fanghui Wang, Chuanmei Li, Jian Xu, Yuanyuan Pan, Fanghui Wang, Chuanmei Li, Jian |
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author |
Xu, Yuanyuan Pan, Fanghui Wang, Chuanmei Li, Jian |
spellingShingle |
Xu, Yuanyuan Pan, Fanghui Wang, Chuanmei Li, Jian Journal of Agricultural and Applied Economics Dynamic Price Discovery Process of Chinese Agricultural Futures Markets: An Empirical Study Based on the Rolling Window Approach Economics and Econometrics Agricultural and Biological Sciences (miscellaneous) |
author_sort |
xu, yuanyuan |
spelling |
Xu, Yuanyuan Pan, Fanghui Wang, Chuanmei Li, Jian 1074-0708 2056-7405 Cambridge University Press (CUP) Economics and Econometrics Agricultural and Biological Sciences (miscellaneous) http://dx.doi.org/10.1017/aae.2019.23 <jats:title>Abstract</jats:title><jats:p>We 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.</jats:p> Dynamic Price Discovery Process of Chinese Agricultural Futures Markets: An Empirical Study Based on the Rolling Window Approach Journal of Agricultural and Applied Economics |
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10.1017/aae.2019.23 |
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Cambridge University Press (CUP), 2019 |
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Cambridge University Press (CUP), 2019 |
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Cambridge University Press (CUP) |
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Journal of Agricultural and Applied Economics |
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title |
Dynamic Price Discovery Process of Chinese Agricultural Futures Markets: An Empirical Study Based on the Rolling Window Approach |
title_unstemmed |
Dynamic Price Discovery Process of Chinese Agricultural Futures Markets: An Empirical Study Based on the Rolling Window Approach |
title_full |
Dynamic Price Discovery Process of Chinese Agricultural Futures Markets: An Empirical Study Based on the Rolling Window Approach |
title_fullStr |
Dynamic Price Discovery Process of Chinese Agricultural Futures Markets: An Empirical Study Based on the Rolling Window Approach |
title_full_unstemmed |
Dynamic Price Discovery Process of Chinese Agricultural Futures Markets: An Empirical Study Based on the Rolling Window Approach |
title_short |
Dynamic Price Discovery Process of Chinese Agricultural Futures Markets: An Empirical Study Based on the Rolling Window Approach |
title_sort |
dynamic price discovery process of chinese agricultural futures markets: an empirical study based on the rolling window approach |
topic |
Economics and Econometrics Agricultural and Biological Sciences (miscellaneous) |
url |
http://dx.doi.org/10.1017/aae.2019.23 |
publishDate |
2019 |
physical |
664-681 |
description |
<jats:title>Abstract</jats:title><jats:p>We 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.</jats:p> |
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author | Xu, Yuanyuan, Pan, Fanghui, Wang, Chuanmei, Li, Jian |
author_facet | Xu, Yuanyuan, Pan, Fanghui, Wang, Chuanmei, Li, Jian, Xu, Yuanyuan, Pan, Fanghui, Wang, Chuanmei, Li, Jian |
author_sort | xu, yuanyuan |
container_issue | 4 |
container_start_page | 664 |
container_title | Journal of Agricultural and Applied Economics |
container_volume | 51 |
description | <jats:title>Abstract</jats:title><jats:p>We 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.</jats:p> |
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imprint | Cambridge University Press (CUP), 2019 |
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publisher | Cambridge University Press (CUP) |
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series | Journal of Agricultural and Applied Economics |
source_id | 49 |
spelling | Xu, Yuanyuan Pan, Fanghui Wang, Chuanmei Li, Jian 1074-0708 2056-7405 Cambridge University Press (CUP) Economics and Econometrics Agricultural and Biological Sciences (miscellaneous) http://dx.doi.org/10.1017/aae.2019.23 <jats:title>Abstract</jats:title><jats:p>We 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.</jats:p> Dynamic Price Discovery Process of Chinese Agricultural Futures Markets: An Empirical Study Based on the Rolling Window Approach Journal of Agricultural and Applied Economics |
spellingShingle | Xu, Yuanyuan, Pan, Fanghui, Wang, Chuanmei, Li, Jian, Journal of Agricultural and Applied Economics, Dynamic Price Discovery Process of Chinese Agricultural Futures Markets: An Empirical Study Based on the Rolling Window Approach, Economics and Econometrics, Agricultural and Biological Sciences (miscellaneous) |
title | Dynamic Price Discovery Process of Chinese Agricultural Futures Markets: An Empirical Study Based on the Rolling Window Approach |
title_full | Dynamic Price Discovery Process of Chinese Agricultural Futures Markets: An Empirical Study Based on the Rolling Window Approach |
title_fullStr | Dynamic Price Discovery Process of Chinese Agricultural Futures Markets: An Empirical Study Based on the Rolling Window Approach |
title_full_unstemmed | Dynamic Price Discovery Process of Chinese Agricultural Futures Markets: An Empirical Study Based on the Rolling Window Approach |
title_short | Dynamic Price Discovery Process of Chinese Agricultural Futures Markets: An Empirical Study Based on the Rolling Window Approach |
title_sort | dynamic price discovery process of chinese agricultural futures markets: an empirical study based on the rolling window approach |
title_unstemmed | Dynamic Price Discovery Process of Chinese Agricultural Futures Markets: An Empirical Study Based on the Rolling Window Approach |
topic | Economics and Econometrics, Agricultural and Biological Sciences (miscellaneous) |
url | http://dx.doi.org/10.1017/aae.2019.23 |