Cross-Border Linkages between the Global Rubber Spot and Futures Markets: India, Malaysia and Thailand, 2016-2022

Abhaya Kumar Kepulaje, Prakash Pinto, Ramona Birau, Iqbal Thonse Hawaldar, Yong Tan, Peter Wanke and Cristi Spulbar ()

Regional and Sectoral Economic Studies, 2024, vol. 24, issue 2, 159-174

Abstract: This paper investigates the linkage between the spot and futures markets of rubber globally. The daily spot price data of rubber in India, Malaysia and Thailand from 4th January 2016 to 2nd November 2022 have been collected from the website of the Association of Natural Rubber Producing Countries (ANRPC); for the same period, the rubber future daily price has been collected from the website of investing.com. The correlation, the Granger causality test, the Johansen cointegration test and the Vector error correction models (VECM) have been applied to test the linkages. The results of the Granger causality and the correlation coefficients revealed the causality between global spot and futures markets for rubber. Johansen's cointegration results justify using VECM; the error correction terms revealed that the correction to the long-term equilibrium would be adjusted in the spot price series. The price of SRU and STF rubber futures traded at Singapore Exchange (SGX) lead the spot price of rubber in India, Malaysia, and Thailand. The study outcomes would help the stakeholders of the rubber industry globally.Classification-JEL:

Keywords: price transmission; lead-lag; causality; cointegration; vector error correction model; econometric. (search for similar items in EconPapers)
Date: 2024
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