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The empirical study on price discovery of cornstarch futures market in China

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  • Yunxian Yan
  • Zhao Guiyu

Abstract

This article aims at exploring the performance of the price discovery function of cornstarch futures market in China. In order to test the stationarity of the cash and futures prices of cornstarch, the augmented Dickey–Fuller test is applied. Both prices are integrated of order one. Then, the Johansen cointegration test is conducted to test the cointegrating relationship between those two prices. Finally, the Granger causality test is performed to observe the direction of causality. The evidence shows that there is a long-run relationship between cash and futures prices and the futures price Granger causes cash price. As a whole, price discovery of cornstarch market in China is present although it is a newly emerged market.

Suggested Citation

  • Yunxian Yan & Zhao Guiyu, 2019. "The empirical study on price discovery of cornstarch futures market in China," Applied Economics Letters, Taylor & Francis Journals, vol. 26(13), pages 1100-1103, July.
    • Handle: RePEc:taf:apeclt:v:26:y:2019:i:13:p:1100-1103
    DOI: 10.1080/13504851.2018.1537472
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    Cited by:

    1. Li, Miao & Xiong, Tao, 2021. "Dynamic price discovery in Chinese agricultural futures markets," Journal of Asian Economics, Elsevier, vol. 76(C).

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