Empirical Research on the Relationship between the Futures and Spot Prices of Cotton in China


Lin Wang Guixian Tian, Journal of Information Processing Systems Vol. 20, No. 1, pp. 76-84, Feb. 2024  

10.3745/JIPS.04.0302
Keywords: Cotton Futures Price, Cotton Spot Price, Spot Market, VAR
Fulltext:

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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Cite this article
[APA Style]
Tian, L. (2024). Empirical Research on the Relationship between the Futures and Spot Prices of Cotton in China. Journal of Information Processing Systems, 20(1), 76-84. DOI: 10.3745/JIPS.04.0302.

[IEEE Style]
L. W. G. Tian, "Empirical Research on the Relationship between the Futures and Spot Prices of Cotton in China," Journal of Information Processing Systems, vol. 20, no. 1, pp. 76-84, 2024. DOI: 10.3745/JIPS.04.0302.

[ACM Style]
Lin Wang Guixian Tian. 2024. Empirical Research on the Relationship between the Futures and Spot Prices of Cotton in China. Journal of Information Processing Systems, 20, 1, (2024), 76-84. DOI: 10.3745/JIPS.04.0302.