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An Empirical Analysis of the Correlation between Spot Price and Futures Price of Silver

In: Proceedings of the 2022 2nd International Conference on Economic Development and Business Culture (ICEDBC 2022)

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  • Yining Ye

    (Ocean University of China, School of Economics)

Abstract

As silver futures appear and are widely traded, it has brought both opportunities and challenges to the market. Many scholars hold the belief that the spot market affects the futures market, and the futures market reacts to the spot market as well. The relationship between them is complex. Taking the silver futures price and spot price from 2015 to 2021 as the research object, this paper explores the relationship between them through the cointegration test, vector error correction model, Granger causality, impulse response model, and other methods. It comes to the conclusion that the spot and futures markets are in long-term equilibrium, and the two markets can modify each other dynamically. What’s more, the future price has Granger one-way guiding effect on the spot price, and the Future price can respond to the impact of spot prices faster and absorb the impact of price changes. Taking gold as an example, this paper further explores the effect of other futures on the spot price of silver. Finally, the paper put forward some constructive suggestions.

Suggested Citation

  • Yining Ye, 2022. "An Empirical Analysis of the Correlation between Spot Price and Futures Price of Silver," Advances in Economics, Business and Management Research, in: Yushi Jiang & Yuriy Shvets & Hrushikesh Mallick (ed.), Proceedings of the 2022 2nd International Conference on Economic Development and Business Culture (ICEDBC 2022), pages 1157-1165, Springer.
    • Handle: RePEc:spr:advbcp:978-94-6463-036-7_171
    DOI: 10.2991/978-94-6463-036-7_171
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