Implication of Cotton Price Behavior on Market Integration

Yuanlong Ge, H. Holly Wang and Sung K. Ahn

No 37623, 2008 Conference, April 21-22, 2008, St. Louis, Missouri from NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management

Abstract: The cotton market in China is highly interactive with international markets, especially, the US market. The prices in these two markets can reveal important market relations. Investigating the data of futures prices from the New York Board of Trade (NYBOT) and the Zhengzhou Commodity Exchange (CZCE) using several time series methods, we find a long-run cointegration relationship between these I(1) series. Furthermore, a bi-directional Granger Causality between these two futures markets is detected with Generalized Autoregressive Conditional Heteroskedasticity (GARCH) error specifications. We also find the relationship is impacted by the Chinese exchange rate policy change in the 2005.

Keywords: Agricultural; Finance (search for similar items in EconPapers)
Pages: 21
Date: 2008
New Economics Papers: this item is included in nep-cna and nep-tra
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:ags:nccest:37623

DOI: 10.22004/ag.econ.37623

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