The application of VAR model in the empirical study on steel futures price discovery | |
Zhang, Minghong ; Zhang, Zhenbo ; Zhang MH(张铭洪) | |
2012 | |
关键词 | Financial data processing Robotics Value engineering |
英文摘要 | Conference Name:2012 IEEE Symposium on Robotics and Applications, ISRA 2012. Conference Address: Kuala Lumpur, Malaysia. Time:June 3, 2012 - June 5, 2012.; 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. 漏 2012 IEEE. |
语种 | 英语 |
出处 | http://dx.doi.org/10.1109/ISRA.2012.6219198 |
出版者 | IEEE Computer Society |
内容类型 | 其他 |
源URL | [http://dspace.xmu.edu.cn/handle/2288/85631] ![]() |
专题 | 经济学院-会议论文 |
推荐引用方式 GB/T 7714 | Zhang, Minghong,Zhang, Zhenbo,Zhang MH. The application of VAR model in the empirical study on steel futures price discovery. 2012-01-01. |
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