Implication of Cotton Price Behavior on Market Integration
AbstractThe 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.
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Bibliographic InfoPaper provided by NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management in its series 2008 Conference, April 21-22, 2008, St. Louis, Missouri with number 37623.
Date of creation: 2008
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cotton futures prices; cointegration; granger causality test; AR-GARCH.; Agricultural Finance;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-12-14 (All new papers)
- NEP-CNA-2008-12-14 (China)
- NEP-TRA-2008-12-14 (Transition Economics)
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