An empirical study on the regulated Chinese agricultural commodity futures market based on skew Ornstein-Uhlenbeck model |
| |
Affiliation: | 1. College of Science, Civil Aviation University of China, Tianjin 300300, China;2. School of Economics and Finance, Queen Mary University of London, Mile End Road, London E1 4NS, United Kingdom |
| |
Abstract: | This paper describes the regulated agricultural commodity futures market of China, focusing on six actively traded futures: corn, strong gluten wheat, No. 1 soybean, soymeal, cotton, and white sugar. A novel skew Ornstein-Uhlenbeck model is employed to characterize price dynamics with government controls. The empirical analysis reveals significant skew phenomena in these six futures and indicates that the price dynamics are influenced by state policy. The observed skew phenomena are most notable in grain futures, with relatively weaker, but statistically significant, evidence of skew phenomena in oilseed and soft futures markets. In addition, generalized quasi-likelihood ratio tests show that the skew Ornstein-Uhlenbeck model is superior to the Ornstein-Uhlenbeck model. |
| |
Keywords: | Agricultural commodity futures Skew Ornstein-Uhlenbeck processes |
本文献已被 ScienceDirect 等数据库收录! |
|