The impact of the Chinese cornstarch futures on spot market and corn futures market

Abstract

This article investigates price transmission mechanism and volatility impact between Chinese cornstarch futures market and relevant markets through Johansen cointegration test, VEC model and GARCH model. The empirical results indicated that the Chinese cornstarch futures price could guide cornstarch spot price uni-directionally and there are long-term cointegration relationships between them. There is a co-integration and bi-directional lead relationship between cornstarch futures price and corn futures price. The launch of cornstarch futures market can slightly reduce volatility of domestic corn futures market. However, the launch of cornstarch futures market has no significant impact on the spot market.

Keywords:

• cornstarch futures
• spot price
• price transmission
• volatility

Public Interest Statement

The study focuses on the relationship between cornstarch futures price and corn futures price. The launch of cornstarch futures market can slightly reduce volatility of domestic corn futures market. However, the launch of cornstarch futures market has no significant impact on the spot market. This paper discusses in details cornstarch prices in future using some financial models. This study would be of interest to both academic and non-academician, and provides a base market study for marketers and investors who may need further knowledge on the subject.

Acknowledgments

I am grateful to Beijing University of Technology for supporting this research work. I also acknowledge Professor Huang for his insightful and valuable comments. And to all staff of international college (BJUT)

Authors’ contributions

Crentsil Kofi Agyekum conceptualized the study with Jianshu Chen and performed the data analysis. Professor Huang designed, coordinated, and supervised the study. All authors were also responsible for the interpretation of the model results and write up of the manuscript. Both authors read and approved the final manuscript.

Availability of data and materials

The data that support the findings of this study can be obtained from the author based on request.

Funding

The authors received no direct funding for this research

Additional information

Notes on contributors

Crentsil Kofi Agyekum

Crentsil Kofi Agyekum has published peer-reviewed articles on financial policies. He has one book published to his credit entitled “consumer perception quality on the sale of rice” and has also published in a lot of peer-reviewed journals on economics and management related issues. He is a PhD candidate in Beijing University of technology in the department of Economics and Management. He also serves as a business development and operation executive in one of the leading Information Technology Companies in China. He has been a research assistant since 2013 to 2017.This information in the current perspective article is important detail analysis for researchers and scholars who want to delve more into Agricultural products and future finances and marketability of corn and corn-starch.