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

References

• Adeoye, I. B., Dontsop Nguezet, P. M., Badmus, M. A., & Amao, I. O. (2011). Price transmission and market integration of banana and plantain in Oyo State, Nigeria. ARPN Journal of Agricultural and Biological Science, 6(5), 18–24.
   Google Scholar
• Antoniou, A., & Holmes, P. (1995). Futures trading, information and spot price volatility: Evidence for the FTSE-100 stock index futures contract using GARCH. Journal of Banking & Finance, 19(1), 117–129.10.1016/0378-4266(94)00059-C
   Web of Science ®Google Scholar
• Baldauf, B., & Santoni, G. J. (1991). Stock price volatility: Some evidence from an ARCH model. Journal of Futures Markets, 11(2), 191–200.
   Web of Science ®Google Scholar
• Babula, R. A., & Bessler, D. A. (1990). The corn-egg price transmission mechanism. Southern Journal of Agricultural Economics, 22(02), 79–86.10.1017/S1074070800001838
   Google Scholar
• Ben-Kaabia, M., & Gil, J. M. (2007). Asymmetric price transmission in the Spanish lamb sector. European Review of Agricultural Economics, 34(1), 53–80.10.1093/erae/jbm009
   Web of Science ®Google Scholar
• Bollerslev, T. (1986). Generalized autoregressive conditional heteroscedasticity. Journal of Econometrics, 31(3), 307–327.10.1016/0304-4076(86)90063-1
   Web of Science ®Google Scholar
• Brorsen, B. W. (1991). Futures trading, transaction costs, and stock market volatility. Journal of Futures Markets, 11(2), 153–163.
   Web of Science ®Google Scholar
• Chang, E. C., Cheng, J. W., & Pinegar, J. M. (1999). Does futures trading increase stock market volatility? The case of the Nikkei stock index futures markets. Journal of Banking & Finance, 23(5), 727–753.10.1016/S0378-4266(98)00069-7
   Web of Science ®Google Scholar
• Chen, X. & Cheng, Q. (2006). Institutional holdings and analysts’ stock recommendations. Journal of Accounting, Auditing & Finance, 21(4), 399–440.
   Google Scholar
• Cox, C. C. (1976). Future’s trading and market information. Journal of Political Economy, 84(6), 1215–1237.10.1086/260509
   Web of Science ®Google Scholar
• Engle, R. E., Granger, C. W. J. (1987). Co-integration and error correction: representation, estimation, and testing. Econometrica, 55(2), 251–276.10.2307/1913236
   Web of Science ®Google Scholar
• Esposti, R., & Listorti, G. (2013). Agricultural price transmission across space and commodities during price bubbles. Agricultural Economics, 44(1), 125–139.10.1111/agec.2013.44.issue-1
   Web of Science ®Google Scholar
• Fong, L., & Han, C. (2015). Impacts of derivative markets on spot market volatility and their persistence. Applied Economics, 1–9.
   Google Scholar
• Gao, J. Y., & Liu, Q. F. (2007). Information transmission between London and Shanghai copper futures market studies. Journal of Financial Research, 02, 63–73.
   Google Scholar
• Guo, S. H., Wang, H., Gao, Z. B., & Wang, L. X. (2010). Metal futures market price and volatility linkage research – Evidences from Cu and Al from SHFE and LME. International Finance Research, 04, 79–88.
   Google Scholar
• Hua, R. H., & Liu, Q. F. (2007). The futures market volatility spillover effect between intermarket markets. World Economy, 6, 64–74.
   Google Scholar
• Kasman, A., & Kasman, S. (2008). The impact of futures trading on volatility of the underlying asset in the Turkish stock market. Physica A: Statistical Mechanics and its Applications, 387(12), 2837–2845.10.1016/j.physa.2008.01.084
   Web of Science ®Google Scholar
• Kawaller, I. G., Koch, P. D., & Koch, T. W. (1987). The temporal price relationship between S&P 500 futures and the S&P 500 index. The Journal of Finance, 42(5), 1309–1329.
   Web of Science ®Google Scholar
• Lemma, H. R., & Singh, R. (2015). testing for price co-integration between producers and retailers: Evidence from Ethiopian milk market. iBusiness, 7(1), 1–9.10.4236/ib.2015.71001
   Google Scholar
• Liu, Q. (2005). Price relations among hog, corn, and soybean meal futures. Journal of Futures Markets, 25(5), 491–514.10.1002/(ISSN)1096-9934
   Web of Science ®Google Scholar
• Pericli, A., & Koutmos, G. (1997). Index futures and options and stock market volatility. Journal of Futures Markets, 17(8), 957–974.10.1002/(ISSN)1096-9934
   Web of Science ®Google Scholar
• Powers, M. J. (1970). Does futures trading reduce price fluctuations in cash markets? American Economic Review, 60(3), 460–464.
   Web of Science ®Google Scholar
• Singh, S., & Tripathi, L. K. (2014). A study of currency market volatility in India during its pre and post derivative period. Social Science Electronic Publishing.
   Google Scholar
• Yan, Y., & Reed, M. (2014). Price discovery in the Chinese corn futures market, with comparisons to soybean futures. Agribusiness, 30(4), 398–409.10.1002/agr.v30.4
   Web of Science ®Google Scholar
• Yang, J., & David, A. (2004). Bessler. The international price transmission in stock index futures markets Economic Inquiry, 42(3), 370–386.
   Google Scholar
• Yin, J. F. (2006). China’s financial market linkage analysis: 2000–2004. World Economy, 1, 50–60.
   Google Scholar
• Zhang, J. Q., & Liu, Q. F. (2006). Chinese metal futures market and spot market volatility linkage research. Journal of Financial Research, 7, 102–112.
   Google Scholar
• Zhang, D., Asche, F., & Oglend, A. (2014). Ethanol and trade: An analysis of price transmission in the US market. Energy Economics, 42(1), 1–8.10.1016/j.eneco.2013.11.012
   Web of Science ®Google Scholar
• Zhou, M., & Buongiorno, J. (2005). Price transmission between products at different stages of manufacturing in forest industries. Journal of Forest Economics, 11(1), 5–19.10.1016/j.jfe.2005.02.002
   Web of Science ®Google Scholar