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Applied Economics Letters Volume 26, 2019 - Issue 5
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Articles

Price discovery and volatility spillover in spot and futures markets: evidences from steel-related commodities in China

Kyoungsu KimStatistical Analysis Team, KoreaPD S, Seoul, Republic of KoreaORCID Iconhttp://orcid.org/0000-0001-8444-6381
ORCID Icon &
Seok LimPrice Analysis Team, KoreaPDS, Seoul, Republic of KoreaCorrespondence[email protected]
Pages 351-357 | Published online: 31 May 2018

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Xiaojie Xu & Yun Zhang. (2023) Scrap steel price forecasting with neural networks for east, north, south, central, northeast, and southwest China and at the national level. Ironmaking & Steelmaking 0:0, pages 1-15.
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Zhipeng Yan, Shenghong Li, Gongmin Zhao & Juanmei Zhou. (2021) Dynamic price discovery in China’s thermal coal future market. Applied Economics Letters 28:4, pages 255-259.
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Articles from other publishers (14)

Xiaojie Xu & Yun Zhang. (2022) Steel price index forecasting through neural networks: the composite index, long products, flat products, and rolled products. Mineral Economics 36:4, pages 563-582.
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Xiaojie Xu & Yun Zhang. (2023) Price forecasts of ten steel products using Gaussian process regressions. Engineering Applications of Artificial Intelligence 126, pages 106870.
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Sen Wu, Shuaiqi Liu, Huimin Zong, Yiyuan Sun & Wei Wang. (2023) Research on a Prediction Model and Influencing Factors of Cross-Regional Price Differences of Rebar Spot Based on Long Short-Term Memory Network. Sustainability 15:6, pages 4951.
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Mohit Garg, Shelly Singhal, Kiran Sood, Ramona Rupeika-Apoga & Simon Grima. (2023) Price Discovery Mechanism and Volatility Spillover between National Agriculture Market and National Commodity and Derivatives Exchange: The Study of the Indian Agricultural Commodity Market. Journal of Risk and Financial Management 16:2, pages 62.
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Mobeen Ur Rehman, Xuan Vinh Vo, Hee-Un Ko, Nasir Ahmad & Sang Hoon Kang. (2023) Quantile connectedness between Chinese stock and commodity futures markets. Research in International Business and Finance 64, pages 101810.
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Xuanru Zhou, Shuxian Zheng, Hua Zhang, Qunyi Liu, Wanli Xing, Xiaotong Li, Yawen Han & Pei Zhao. (2022) Risk Transmission of Trade Price Fluctuations from a Nickel Chain Perspective: Based on Systematic Risk Entropy and Granger Causality Networks. Entropy 24:9, pages 1221.
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Shangkun Deng, Yingke Zhu, Xiaoru Huang, Shuangyang Duan & Zhe Fu. (2022) High-Frequency Direction Forecasting of the Futures Market Using a Machine-Learning-Based Method. Future Internet 14:6, pages 180.
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Gamze GÖÇMEN YAĞCILAR. (2021) TÜRKİYE’DE SPOT VE VADELİ İŞLEM PİYASALARI ARASINDA BİLGİ ETKİNLİĞİ VE ETKİLEŞİM: ÖNCÜL-ARDIL İLİŞKİLER VE VOLATİLİTE İLETİMİ. International Journal of Management Economics and Business.
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TrungTuyen Dang, Zhang Caihong, ThiHong Nguyen, NgocTrung Nguyen & Cuong Tran. (2021) The volatility characteristics of Vietnamese coffee export price and transmission mechanism of influencing factors: a Markov switching approach. Journal of Asia Business Studies 15:5, pages 784-803.
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Yiqun Ma & Wei Zhen. (2020) Market Fundamentals and Iron Ore Spot Prices*. Economic Record 96:315, pages 470-489.
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Yajie Qi, Huajiao Li, Yanxin Liu, Sida Feng, Yang Li & Sui Guo. (2020) Granger causality transmission mechanism of steel product prices under multiple scales—The industrial chain perspective. Resources Policy 67, pages 101674.
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Manogna R L & Aswini Kumar Mishra. (2020) Price discovery and volatility spillover: an empirical evidence from spot and futures agricultural commodity markets in India. Journal of Agribusiness in Developing and Emerging Economies 10:4, pages 447-473.
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Jaehyuk Choi, Heungju Park & Sungbin Sohn. (2019) Price Discovery in Bitcoin Futures: Evidence From BitMEX. SSRN Electronic Journal.
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Robert E. Brooks. (2018) Samuelson Hypothesis of the Maturity Effect and Carry Arbitrage: U. S. and China. SSRN Electronic Journal.
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