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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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| Zeitschriftentitel: | Journal of Business Economics and Management |
|---|---|
| Personen und Körperschaften: | , , , , |
| In: | Journal of Business Economics and Management, 20, 2019, 6, S. 1083-1101 |
| Format: | E-Article |
| Sprache: | Unbestimmt |
| veröffentlicht: |
Vilnius Gediminas Technical University
|
| Schlagwörter: |
| author_facet |
Ge, Yongbo Cao, Tingting Jiang, Ruchuan Liu, Peide Xie, Hengxin Ge, Yongbo Cao, Tingting Jiang, Ruchuan Liu, Peide Xie, Hengxin |
|---|---|
| author |
Ge, Yongbo Cao, Tingting Jiang, Ruchuan Liu, Peide Xie, Hengxin |
| spellingShingle |
Ge, Yongbo Cao, Tingting Jiang, Ruchuan Liu, Peide Xie, Hengxin Journal of Business Economics and Management DOES CHINA’S IRON ORE FUTURES MARKET HAVE PRICE DISCOVERY FUNCTION? ANALYSIS BASED ON VECM AND STATE-SPACE PERSPECTIVE Economics and Econometrics Business, Management and Accounting (miscellaneous) |
| author_sort |
ge, yongbo |
| spelling |
Ge, Yongbo Cao, Tingting Jiang, Ruchuan Liu, Peide Xie, Hengxin 1611-1699 2029-4433 Vilnius Gediminas Technical University Economics and Econometrics Business, Management and Accounting (miscellaneous) http://dx.doi.org/10.3846/jbem.2019.10604 <jats:p>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.</jats:p> DOES CHINA’S IRON ORE FUTURES MARKET HAVE PRICE DISCOVERY FUNCTION? ANALYSIS BASED ON VECM AND STATE-SPACE PERSPECTIVE Journal of Business Economics and Management |
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Vilnius Gediminas Technical University, 2019 |
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Vilnius Gediminas Technical University, 2019 |
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| title |
DOES CHINA’S IRON ORE FUTURES MARKET HAVE PRICE DISCOVERY FUNCTION? ANALYSIS BASED ON VECM AND STATE-SPACE PERSPECTIVE |
| title_unstemmed |
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 |
| title_fullStr |
DOES CHINA’S IRON ORE FUTURES MARKET HAVE PRICE DISCOVERY FUNCTION? ANALYSIS BASED ON VECM AND STATE-SPACE PERSPECTIVE |
| title_full_unstemmed |
DOES CHINA’S IRON ORE FUTURES MARKET HAVE PRICE DISCOVERY FUNCTION? ANALYSIS BASED ON VECM AND STATE-SPACE PERSPECTIVE |
| title_short |
DOES CHINA’S IRON ORE FUTURES MARKET HAVE PRICE DISCOVERY FUNCTION? ANALYSIS BASED ON VECM AND STATE-SPACE PERSPECTIVE |
| title_sort |
does china’s iron ore futures market have price discovery function? analysis based on vecm and state-space perspective |
| topic |
Economics and Econometrics Business, Management and Accounting (miscellaneous) |
| url |
http://dx.doi.org/10.3846/jbem.2019.10604 |
| publishDate |
2019 |
| physical |
1083-1101 |
| description |
<jats:p>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.</jats:p> |
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| author | Ge, Yongbo, Cao, Tingting, Jiang, Ruchuan, Liu, Peide, Xie, Hengxin |
| author_facet | Ge, Yongbo, Cao, Tingting, Jiang, Ruchuan, Liu, Peide, Xie, Hengxin, Ge, Yongbo, Cao, Tingting, Jiang, Ruchuan, Liu, Peide, Xie, Hengxin |
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| description | <jats:p>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.</jats:p> |
| doi_str_mv | 10.3846/jbem.2019.10604 |
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| physical | 1083-1101 |
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| spelling | Ge, Yongbo Cao, Tingting Jiang, Ruchuan Liu, Peide Xie, Hengxin 1611-1699 2029-4433 Vilnius Gediminas Technical University Economics and Econometrics Business, Management and Accounting (miscellaneous) http://dx.doi.org/10.3846/jbem.2019.10604 <jats:p>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.</jats:p> DOES CHINA’S IRON ORE FUTURES MARKET HAVE PRICE DISCOVERY FUNCTION? ANALYSIS BASED ON VECM AND STATE-SPACE PERSPECTIVE Journal of Business Economics and Management |
| spellingShingle | Ge, Yongbo, Cao, Tingting, Jiang, Ruchuan, Liu, Peide, Xie, Hengxin, Journal of Business Economics and Management, DOES CHINA’S IRON ORE FUTURES MARKET HAVE PRICE DISCOVERY FUNCTION? ANALYSIS BASED ON VECM AND STATE-SPACE PERSPECTIVE, Economics and Econometrics, Business, Management and Accounting (miscellaneous) |
| title | 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 |
| title_fullStr | DOES CHINA’S IRON ORE FUTURES MARKET HAVE PRICE DISCOVERY FUNCTION? ANALYSIS BASED ON VECM AND STATE-SPACE PERSPECTIVE |
| title_full_unstemmed | DOES CHINA’S IRON ORE FUTURES MARKET HAVE PRICE DISCOVERY FUNCTION? ANALYSIS BASED ON VECM AND STATE-SPACE PERSPECTIVE |
| title_short | DOES CHINA’S IRON ORE FUTURES MARKET HAVE PRICE DISCOVERY FUNCTION? ANALYSIS BASED ON VECM AND STATE-SPACE PERSPECTIVE |
| title_sort | does china’s iron ore futures market have price discovery function? analysis based on vecm and state-space perspective |
| title_unstemmed | DOES CHINA’S IRON ORE FUTURES MARKET HAVE PRICE DISCOVERY FUNCTION? ANALYSIS BASED ON VECM AND STATE-SPACE PERSPECTIVE |
| topic | Economics and Econometrics, Business, Management and Accounting (miscellaneous) |
| url | http://dx.doi.org/10.3846/jbem.2019.10604 |