NDLI: The application of VAR model in the empirical study on steel futures price discovery

Content Provider	IEEE Xplore Digital Library
Author	Minghong Zhang Zhenbo Zhang
Copyright Year	2012
Description	Author affiliation: School of economics, department of public finance, Xiamen University, Xiamen, China (Minghong Zhang; Zhenbo Zhang)
Abstract	In order to discuss the price discovery function of steel future, this paper made an empirical study with weekly data of rebar future price and spot price, which was by means of Johansen cointegration test, Granger causality test, Variance decomposition and Impulse response function basing on VAR model. It was found that there was long-run equilibrium relationship and Granger leading relationship between the two price series. Furthermore, it was proved that futures price shares a higher part of total variance than spot price by variance decomposition, and in short term both the future price and spot price made a stronger reaction to the standard difference innovation of future price than that of spot price. Therefore, this article illuminated that rebar futures plays a more important role in price discovery.
Starting Page	359
Ending Page	361
File Size	81533
Page Count	3
File Format	PDF
ISBN	9781467322058
e-ISBN	9781467322072
DOI	10.1109/ISRA.2012.6219198
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2012-06-03
Publisher Place	Malaysia
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Reactive power Technological innovation Analytical models Steel futures Stochastic processes VAR model Steel Price discovery Contracts Standards
Content Type	Text
Resource Type	Article

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