Price discovery and volatility spillover in spot and futures markets: evidences from steel-related commodities in China

Kyoungsu Kim and Seok Lim

Applied Economics Letters, 2019, vol. 26, issue 5, 351-357

Abstract: The price discovery and spillover effect are significant indicators in futures markets. This study examines the price discovery and spillover effects using vector error correction model and generalized autoregressive conditional heteroskedastic for seven types of steel products in Chinese spot and futures markets. The results show that the price discovery exists in all of steel futures market. It is also confirmed that futures prices in all items are mainly leading spot prices via permanent-transitory and information share. In the results of spillover effects, it is found that wire rod, coking coal, coke and silico-manganese have the effects between spot and futures market. In rebar market, there is the spillover effect from spot to futures. This information about futures prices can help the market participants to make decisions when they predict the spot prices.

Date: 2019
References: Add references at CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://hdl.handle.net/10.1080/13504851.2018.1478385 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:26:y:2019:i:5:p:351-357

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/13504851.2018.1478385

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().