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Cogent Economics & Finance Volume 5, 2017 - Issue 1
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Research Article

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

Crentsil Kofi AgyekumEconomics and Management Department, Beijing University of Technology, 100 Pingleyuan, Chaoyang District, Beijing, ChinaCorrespondence[email protected]
View further author information
,
Haifeng HuangEconomics and Management Department, Beijing University of Technology, 100 Pingleyuan, Chaoyang District, Beijing, China
&
Jianshu ChenEconomics and Management Department, Beijing University of Technology, 100 Pingleyuan, Chaoyang District, Beijing, China
|
David McMillanUniversity of Stirling, UK
(Reviewing Editor)
Article: 1405580 | Received 07 Jul 2017, Accepted 10 Nov 2017, Published online: 11 Dec 2017

Figures & data

Figure 1. Domestic cornstarch downstream proportion.

Resource: China Starch Industry Association.
Figure 1. Domestic cornstarch downstream proportion.

Table 1. Cornstarch futures contract specs

Table 2. The corn future trading rules in Dalian commodity exchange

Table 3. Variables and symbols

Figure 2. Impulse response of DCS & DF.

Figure 2. Impulse response of DCS & DF.

Figure 3. Variance decomposition.

Figure 3. Variance decomposition.

Figure 4. The daily return of cornstarch.

Figure 4. The daily return of cornstarch.

Table 4. Selection of GARCH(p, q)

Table 5. AR(1)MA(2)-GARCH(1,1)-DUM model

Table 6. AR(1)MA(2)-GARCH(1,1)-DUM ARCH-LM test

Table 7. Granger Causality test

Figure 5. Impulse response.

Figure 5. Impulse response.

Figure 6. Variance decomposition.

Figure 6. Variance decomposition.

Figure 7. Autocorrelation function and partial correlation function of DC_m.

Figure 7. Autocorrelation function and partial correlation function of DC_m.

Table 8. Lag order of ARMA model

Table 9. AR(1) MA(1) model

Table 10. ARCH-LM test

Table 11. AR(1) MA(1)-GARCH(1,1) on student’s t-distribution

Table 12. AR(1) MA(1)-GARCH(1,1) ARCH-LM test

Table 13. AR(1) MA(1)-GARCH(1,1)-DUM on t-distribution

Table 14. AR(1)MA(1)-GARCH(1,1)-DUM ARCH-LM test

Figure 8. Return of corn futures.

Figure 8. Return of corn futures.

Table 15. AR(1) MA(1)-GARCH(1,1) of DF_m

Table 16. GARCH(1,1)-BEKK results

Table 17. Wald test for volatility spillover effects

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