Implication of Cotton Price Behavior on Market Integration

The cotton market in China is highly interactive with international markets, especially, the US market. The prices in these two markets can reveal important market relations. Investigating the data of futures prices from the New York Board of Trade (NYBOT) and the Zhengzhou Commodity Exchange (CZCE) using several time series methods, we find a long-run cointegration relationship between these I(1) series. Furthermore, a bi-directional Granger Causality between these two futures markets is detected with Generalized Autoregressive Conditional Heteroskedasticity (GARCH) error specifications. We also find the relationship is impacted by the Chinese exchange rate policy change in the 2005.


Issue Date:
2008
Publication Type:
Conference Paper/ Presentation
PURL Identifier:
http://purl.umn.edu/37623
Total Pages:
21
Series Statement:
2008 NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management




 Record created 2017-04-01, last modified 2017-08-25

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