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Analysis of meat price volatility in China

  • WanChun Luo
  • Rui Liu
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    Purpose – In recent years, frequent volatility is deeply influencing meat industry, household lives and macroeconomics. The main purpose of this paper is to analyze the volatility of Chinese meat price, and provide suggestions on stabilizing the meat market. Design/methodology/approach – This paper uses (G) ARCH, (G) ARCH-M, TARCH and EGARCH models to analyze volatility and its asymmetry of Chinese meat price. Findings – Estimation result of (G) ARCH model shows volatility clustering of meat price. Estimation result of (G) ARCH-M model shows high risk and low return in beef market. ARCH and EGARCH models estimation results show non-symmetry of volatility of beef, mutton and chicken price, and volatility caused by falling price is smaller than that caused by rising price. Originality/value – This paper shows that volatility of meat price can be predicted and Chinese meat market is not perfect, and special attention to the factors causing rise in meat price is necessary. JEL classification: Q11, C22, C53

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    Article provided by Emerald Group Publishing in its journal China Agricultural Economic Review.

    Volume (Year): 3 (2011)
    Issue (Month): 3 (September)
    Pages: 402-411

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    Handle: RePEc:eme:caerpp:v:3:y:2011:i:3:p:402-411
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    1. Rabemananjara, R & Zakoian, J M, 1993. "Threshold Arch Models and Asymmetries in Volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(1), pages 31-49, Jan.-Marc.
    2. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    3. Hibbert, Ann Marie & Daigler, Robert T. & Dupoyet, Brice, 2008. "A behavioral explanation for the negative asymmetric return-volatility relation," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2254-2266, October.
    4. French, Kenneth R. & Schwert, G. William & Stambaugh, Robert F., 1987. "Expected stock returns and volatility," Journal of Financial Economics, Elsevier, vol. 19(1), pages 3-29, September.
    5. Harris, Milton & Raviv, Artur, 1993. "Differences of Opinion Make a Horse Race," Review of Financial Studies, Society for Financial Studies, vol. 6(3), pages 473-506.
    6. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March.
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