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《Research on Financial and Economic Issues》 2006-04
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Price Discovery in the Spot -Futures Markets:An Empirical Analysis in Chinese Agricultural Products

LIU Qing-fu1,WANG Hai-min2(1.Institue for Financial Studies, Fudan University, Shanghai 200433,China;2.South Aero-company,Guangzhou Guangdong 510320,China)  
This article empirically measures price discovery and lead-lag relationships in Chinese soybean and wheat's spot-futures markets with the information shares and volatility spillovers models.The empirical results show that there are bi-directional lead relations in soybean's spot and futures prices and there is the a single lead relation from futures market to spot market in wheat's spot and futures prices.Thus, both spot market and futures market play important price discovery roles and the futures market is more dominant than the spot market.Morever, there are bi-directional volatility spillovers relations in spot-futures markets and the futures market volatility spillovers to the spot market more than vice versa.In addition, the volatility spillovers become stronger gradually with the development of Chinese future market.
【Fund】: 国家自然科学基金项目(70573044)
【CateGory Index】: F224
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