An Empirical Analysis on Price Discovery Function in the Rapeseed Oil Futures Market Based on the VAR Model

Denghui Duan, Yan Liu and Ruoxi Hu

Chapter 58 in Economic Management and Big Data Application:Proceedings of the 3rd International Conference, 2024, pp 668-678 from World Scientific Publishing Co. Pte. Ltd.

Abstract: To analyze the price discovery function of the rapeseed oil futures market is not only helps to improve the price formation mechanism of the oil futures market, but also constructive to the real economy, and promotes the development of the rapeseed oil industry. In this paper, we take the daily price data of the main contract of rapeseed oil futures of Zhengzhou Commodity Exchange from January 2019 to December 2021 and daily spot price as samples. The empirical analysis was undertaken by Stata with the VAR model, Granger model, VECM model, impulse response, and variance decomposition. It was found that the spot price of rapeseed oil played a dominant role in price discovery, while the futures market does not have the capacity for price discovery. According to the conclusion, this paper shows four suggestions to promote the price discovery function in rapeseed oil futures.

Keywords: Big Data; Information Management; Economic; Data Applications; Blockchain; E-commerce (search for similar items in EconPapers)
JEL-codes: C63 C8 O14 (search for similar items in EconPapers)
Date: 2024
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