Price Transmission in Cotton Futures Market: Evidence from Three Countries

Amrinder Singh, T. Soni
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引用次数: 2

Abstract

This study examines the price transmission between cotton prices in U.S., Indian, and Chinese futures markets. We focus on studying the long-run price movements using cointegration and alternate causality tests. The empirical results indicate the following: (a) the U.S. cotton futures market continues to be the most dominant market, and it leads price changes in India and China; (b) the cotton prices in India also impacts the cotton prices in China as we report a unidirectional relationship flowing from India to China; (c) there is duality of direction of price transmission for U.S. and Chinese commodity markets as we document bi-directional causality between U.S. to Chinese cotton futures for the entire period and uni-directional causality from U.S. to Chinese markets for the two sub-periods; (d) the long-term relationship between the three markets has seen a significant shift as documented by the absence of cointegration which may be due to changes in government policy, especially in India and China specifically after 2014. Overall, results provide support for further reforms especially for Indian and Chinese commodity exchanges so that they can play a vital role in the price discovery process especially for commodities that are largely produced or consumed in these economies.
棉花期货市场价格传导:来自三个国家的证据
本研究考察了美国、印度和中国棉花期货市场的价格传导。我们重点研究长期价格走势使用协整和交替因果检验。实证结果表明:(a)美国棉花期货市场仍然是最具主导地位的市场,并引领印度和中国的价格变动;(b)印度的棉花价格也会影响中国的棉花价格,因为我们报告了从印度流向中国的单向关系;(c)美国和中国商品市场的价格传导方向是双向的,因为我们记录了整个时期美国到中国棉花期货之间的双向因果关系,以及两个子时期美国到中国市场的单向因果关系;(d)三个市场之间的长期关系发生了重大转变,这可能是由于政府政策的变化,特别是在印度和中国,特别是在2014年之后。总体而言,研究结果为进一步的改革提供了支持,特别是对印度和中国的商品交易所,使它们能够在价格发现过程中发挥至关重要的作用,特别是对主要在这些经济体生产或消费的商品。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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