@article{Ge:37623,
      recid = {37623},
      author = {Ge, Yuanlong and Wang, H. Holly and Ahn, Sung K.},
      title = {Implication of Cotton Price Behavior on Market  Integration},
      address = {2008},
      number = {1314-2016-102650},
      series = {2008 NCCC-134 Conference on Applied Commodity Price  Analysis, Forecasting, and Market Risk Management},
      pages = {21},
      year = {2008},
      abstract = {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.},
      url = {http://ageconsearch.umn.edu/record/37623},
      doi = {https://doi.org/10.22004/ag.econ.37623},
}