Is China’s hog futures market effective? Based on the perspective of price discovery and hedging functions

Chengliang Peng

Applied Economics Letters, 2025, vol. 32, issue 3, 295-301

Abstract: Based on daily data of China’s hog futures and spot prices from January 2021 to October 2023, this paper uses VAR-GARCH-BEKK to test the effectiveness of China’s hog futures market. The results of the study indicate that there is a two-way positive leading relationship between the hog futures market and the spot market. There is a significant two-way volatility spillover effect between hog futures market and hog spot market, but the hedging performance of hog futures is poor. Therefore, the effectiveness of China’s hog futures market needs to be further improved.

Date: 2025
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DOI: 10.1080/13504851.2024.2303375

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