Journal of Information Processing Systems

Korea Information Processing Society (한국정보처리학회)
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Empirical Research on the Relationship between the Futures and Spot Prices of Cotton in China

  • Lin Wang (School of Finance and Economics, Guangdong University of Science & Technology) ;
  • Guixian Tian (School of Business, Pingxiang University)
  • Received : 2023.03.16
  • Accepted : 2023.09.29
  • Published : 2024.02.29
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Abstract

This study constructed a VAR model with cotton futures and spot price data from April 30, 2009 to November 16, 2022, for empirical analysis utilizing the Granger causality test to analyze the dynamic relationship between cotton futures and spot market prices in China. The impulse response function and variance decomposition analysis showed that the cotton spot prices at flowering have a causal relationship with each other; in terms of mutual influence and impact, futures prices are higher than spot prices. Finally, it proposed countermeasures and suggestions from the perspective of establishing a standardized cotton spot market, improving the laws and regulations of the cotton futures market and trading system, and optimizing the structure of investment subjects.

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References

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