DocumentCode
1650820
Title
A study on the price discovery process of steel futures of the Shanghai Futures Exchange based on VAR model
Author
Yaoming, Ye ; Xifeng, Zhang
Author_Institution
School of Economics and Management Tongji University Shanghai, P.R. China
fYear
2011
Firstpage
1
Lastpage
4
Abstract
The steel futures appear on Shanghai Futures Exchange market on March 27, 2009. It´s of great significance to the stability of the domestic steel prices owing to its function of hedging and price discovery. The study analyzes the relationship between the steel futures prices and their influence factors on the basis of the VAR model. It finds that the price of iron ore, spot steel and BDI index have guidance to the steel futures prices, the steel futures prices have guidance to the price of coke as well. As to the influence degree of the factors mentioned above, the price of iron ore has most leading influence, and the price of spot steel and BDI index is less, while the price of coke is lest.
Keywords
Aluminum; Couplings; Economics; Indexes; Iron; Reactive power; Steel; VAR model; price discovery; steel futures;
fLanguage
English
Publisher
ieee
Conference_Titel
E -Business and E -Government (ICEE), 2011 International Conference on
Conference_Location
Shanghai, China
Print_ISBN
978-1-4244-8691-5
Type
conf
DOI
10.1109/ICEBEG.2011.5882290
Filename
5882290
Link To Document