Abstract
With the database of Copper contracts in Chinese futures market, the function of price discovery is examined, using VECM model, cointegration test, error correction model , variance decomposition and impulse responses function methods, etc. The results suggest that the spot and futures prices are cointegrated, and futures market plays more important role in price discovery. We also found that asymmetric market effectiveness exists between up and down market. That is, in bear market, spot price has weaker response to information, and future price is not the Granger Causal of spot price.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
